mafipy.function.payoff_strangle

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

Buy call option and put option at same time with different strike.

Parameters:

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

Returns:

payoff of strangle option. If lower_strike >= upper_strike, then return 0.

Return type:

float