StockOption

"""Store common attributes of a stock option"""
import math
class StockOption(object):
    def __init__(self,S0,K,r,T,N,params):
        self.S0 = S0
        self.K = K
        self.r = r
        self.T= T
        self.N = max(1,N)
        self.STs = None
        """Optional parameters used by derived classes"""
        self.pu = params.get("pu",0) #Probability of up state
        self.pd = params.get("pd",0) #Probability of down state
        self.div = params.get("div",0) #Dividend yield
        self.sigma = params.get("sigma",0) #Volatility
        self.is_call = params.get("is_call",True) #Call or put
        self.is_european = params.get("is_eu",True) #Eu or Am
        """Computed values"""
        self.dt = T/float(N) #Single time step , in years
        self.df = math.exp(-(r-self.div)*self.dt) #Discount factor