mafipy.function.payoff_risk_reversal

mafipy.function.payoff_risk_reversal(underlying, lower_strike, upper_strike, gearing=1.0)

• Sell 1 out of the money put option.
• Buy 1 out of the money call option.

Parameters:

• underlying (float) –
• lower_strike (float) –
• upper_strike (float) –
• gearing (float) – Coefficient of this option. Default value is 1.

Returns:

payoff of risk reversal option. If lower_strike > upper_strike, then return 0. If lower_strike = upper_strike, this is called synthetic forward.

Return type:

float