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I am trying to write a Python function that performs some calculations using a list of Quantlib options, and I would like to pass only that list without other information. In particular, the strike of each option is embedded there somewhere, but I am finding it hard to extract. Here is a toy example of an instance (extracted from one of Luigi Ballabio's excellent tutorial notebooks):

from QuantLib import *
maturity_date = Date(15, 1, 2016)
spot_price = 127.62
strike_price = 130
volatility = 0.20 # the historical vols for a year
dividend_rate =  0.0163
option_type = Option.Call

risk_free_rate = 0.001
day_count = Actual365Fixed()
calendar = UnitedStates()

calculation_date = Date(8, 5, 2015)
Settings.instance().evaluationDate = calculation_date

payoff = PlainVanillaPayoff(option_type, strike_price)
exercise = EuropeanExercise(maturity_date)
european_option = VanillaOption(payoff, exercise)

Now I would like to use something like european_option.strike. That doesn't work, of course. Can someone offer a simple solution? (TIA.)

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2 Answers 2

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Very old question now, but here it is for reference in case someone stumbles upon it: the object returned by european_option.payoff() has type ql.Payoff (i.e., the base class for payoffs) and doesn't have the strike method. Now, Python doesn't do casts like C++, but for some objects we export functions that perform the underlying C++ cast and return the object with the correct derived type. This is one such case, and one can write:

ql.as_plain_vanilla_payoff(european_option.payoff()).strike()

to downcast the payoff and then retrieve the strike.

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You can retrieve the strike from the PlainVanillaPayoff object which is payoff in your example.

payoff.strike() returns 130.0 for me.

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  • $\begingroup$ Thanks, but option.payoff.strike() does not work. I want to submit option as an argument to a function, and extract the strike from option inside the function. I do not want to submit additional arguments (like payoff). $\endgroup$
    – Drew
    May 16, 2020 at 23:55
  • $\begingroup$ There is no option.payoff.strike(). Your variable is named payoff. You named it as such. You could rename it to option and then option.strike() would work. Sorry if I am misunderstanding your problem. Good luck. $\endgroup$
    – amdopt
    May 17, 2020 at 0:37
  • $\begingroup$ Sorry: I should have said european_option.payoff.strike() does not work. I would like my function to derive the strike from european_option. $\endgroup$
    – Drew
    May 17, 2020 at 0:47

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