Type System

Widgets are the root asset at the heart of the package. A 'widget' can be any real world financial object such as a stock or commodity. For a list of possible subtypes use subtypes(Widget).

Stock <: Widget

Widget subtype. Used as a base or root asset for financial instrument.

Commodity <: Widget

Widget subtype. Used as a base or root asset for FinancialInstrument.

Bond <: Widget

Widget subtype. Used as a base or root asset for FinancialInstrument.

FinancialInstrument is the supertype for any instrument that uses a base asset (widget) in its definition (like a financial derivative).

Option <: FinancialInstrument

Abstract FinancialInstrument subtype. Supertype of all options contract types.

CallOption{T <: Widget} <: Option

Abstract option subtype. Super type for all call options types.

PutOption{T <: Widget} <: Option

Abstract option subtype. Super type for all put options types.

Future{T <: Widget} <: FinancialInstrument

Future contract with underlying asset 'T'.

EuroCallOption{T <: Widget} <: CallOption{T}

European call option with underlying asset T.

AmericanCallOption{T <: Widget} <: CallOption{T}

American call option with underlying asset of type T

EuroPutOption{T <: Widget} <: CallOption{T}

European put option with underlying asset T.

AmericanPutOption{T <: Widget} <: CallOption{T}

American put option with underlying asset T.

Stock(prices, name, timesteps_per_period, volatility)
Stock(price; kwargs...)
Stock(;kwargs)

Construct a Stock type to use as a base asset for FinancialInstrument.

Arguments

• prices:Historical prices (input as a 1-D array) or the current price input as a number <: Real
• name::String: Name of the stock or stock ticker symbol. Default "".
• timesteps_per_period::Int64: For the size of a timestep in the data, the number of

time steps for a given period of time, cannot be negative. For example, if the period of interest is a year, and daily stock data is used, timesteps_per_period=252. Default is length of the prices array or 0 for single price (static) stock. Note: If timesteps_per_period=0, the Stock represents a 'static' element and cannot be used in the strategy_returns() method.

• volatility: Return volatility, measured in the standard deviation of continuous returns.

Defaults to using get_volatility() on the input prices array. Note: if a single number is given for prices volatility must be given.

Examples

Stock([1,2,3,4,5], "Example", 252, .05)

kwargs = Dict(
    :prices => [1, 2, 3, 4, 5], 
    :name => "Example", 
    :timesteps_per_period => 252, 
    :volatility => .05
);

Stock(;kwargs...)

Stock(40; volatility=.05)

Commodity(prices, name, timesteps_per_period, volatility)
commodity(price; kwargs...)
Commodity(;kwargs)

Construct a Commodity type to use as a base asset for FinancialInstrument.

Arguments

• prices:Historical prices (input as a 1-D array) or the current price input as a number <: Real
• name: String name of the commodity or commodity ticker symbol. Default "".
• timesteps_per_period: For the size of a timestep in the data, the number of

time steps for a given period of time, cannot be negative. For example, if the period of interest is a year, and daily commodity price data is used, timesteps_per_period=252. Default is the length of the prices array or 0 for a single price (static) Commodity. Note: If timesteps_per_period=0, the Commodity represents a 'static' element and cannot be used in the strategy_returns() method.

• volatility: Return volatility, measured in the standard deviation of continuous returns.

Defaults to using get_volatility() on the input prices array. Note: if a single number is given for prices volatility must be given.

Examples

Commodity([1,2,3,4,5], "Example", 252, .05)

kwargs = Dict(
    :prices => [1, 2, 3, 4, 5], 
    :name => "Example", 
    :timesteps_per_period => 252, 
    :volatility => .05
);

Commodity(;kwargs...)

Commodity(40; volatility=.05)

Bond(prices, name, time_mat, coupon_rate)
Bond(price; kwargs...)
Bond(;kwargs)

Construct a Bond type to use as a base asset for FinancialInstrument.

Arguments

• prices:Historical prices (input as a 1-D array) or the current price input as a number <: Real
• name: String name of the Bond or issuing company. Default "".
• time_mat: Time until the bond expires (matures) in years. Default 1.
• coupon_rate: The coupon rate for the bond. Default .03.

Examples

Bond([1,2,3,4,5], "Example", .5, .05)

kwargs = Dict(:prices => [1, 2, 3, 4, 5], :name => "Example", :time_mat => .5, :coupon_rate => .05);
Bond(;kwargs...)

Bond(2; coupon_rate=.05)

EuroCallOption(;kwargs...)
EuroCallOption(widget, strike_price, maturity, risk_free_rate, values_library)

Construct a EuroCallOption with underlying asset of type Widget

Arguments

• widget: underlying asset
• strike_price: Contracted price to buy underlying asset at maturity
• maturity: time to maturity of the option with respect to implicit time period. Default 1.
• risk_free_rate: market risk free interest rate. Default is .02.
• values_library: A dictionary of values returned from pricing functions. Default initializes

to an empty dictionary. use price!() function to load theoretical option prices.

Examples

stock = Stock([1,2,4,3,5,3]);

EuroCallOption(stock, 10)

kwargs = Dict(:widget=>stock, :strike_price=>10, :maturity=>1, :risk_free_rate=>.02);
EuroCallOption(;kwargs...)

AmericanCallOption(widget, strike_price; kwargs...)
AmericanCallOption(;kwargs...)

Construct a AmericanCallOption with underlying asset of type Widget

Arguments

• widget: The underlying asset
• strike_price: Contracted price to buy underlying asset at maturity.
• maturity: time to maturity of the option with respect to implicit time period. Default 1.
• risk_free_rate: market risk free interest rate. Default is .02.
• values_library: The values returned from pricing models. Default initializes

to an empty dictionary. use price!() function to load theoretical option prices.

Examples

stock = Stock([1,2,4,3,5,3]);

AmericanCallOption(stock, 10)

kwargs= Dict(:widget=>stock, :strike_price=>10, :maturity=>1, :risk_free_rate=>.02);
AmericanCallOption(;kwargs...)

EuroPutOption(widget, strike_price; kwargs...)
EuroPutOption(;kwargs...)

Construct a EuroPutOption with underlying asset of type Widget

Arguments

• widget: The underlying asset.
• strike_price: Contracted price to buy underlying asset at maturity.
• maturity: time to maturity of the option with respect to implicit time period. Default 1.
• risk_free_rate: market risk free interest rate. Default is .02.
• values_library: The values returned from pricing models. Default initializes

to an empty dictionary. use price!() function to load theoretical option prices.

Examples

stock = Stock([1,2,4,3,5,3]);

EuroPutOption(stock, 10)

kwargs= Dict(:widget=>stock, :strike_price=>10, :maturity=>1, :risk_free_rate=>.02);
EuroPutOption(;kwargs...)

AmericanPutOption(widget, strike_price; kwargs...)
AmericanPutOption(;kwargs...)

Construct an AmericanPutOption with underlying asset of type Widget

Arguments

• widget: underlying asset
• strike_price: Contracted price to buy underlying asset at maturity
• maturity: time to maturity of the option with respect to implicit time period. Default 1.
• risk_free_rate: market risk free interest rate. Default is .02.
• values_library: The values returned from pricing models. Default initializes

to an empty dictionary. use price!() function to load theoretical option prices

Examples

stock = Stock([1,2,4,3,5,3]);

AmericanPutOption(stock, 10)

kwargs = Dict(:widget=>stock, :strike_price=>10, :maturity=>1, :risk_free_rate=>.02);
AmericanPutOption(;kwargs...)