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<!DOCTYPE html>
<html lang="en"><head><meta charset="UTF-8"/><meta name="viewport" content="width=device-width, initial-scale=1.0"/><title>Equity · FinanceModels.jl</title><meta name="title" content="Equity · FinanceModels.jl"/><meta property="og:title" content="Equity · FinanceModels.jl"/><meta property="twitter:title" content="Equity · FinanceModels.jl"/><meta name="description" content="Documentation for FinanceModels.jl."/><meta property="og:description" content="Documentation for FinanceModels.jl."/><meta property="twitter:description" content="Documentation for FinanceModels.jl."/><meta property="og:url" content="https://JuliaActuary.github.io/FinanceModels.jl/API/Equity/"/><meta property="twitter:url" content="https://JuliaActuary.github.io/FinanceModels.jl/API/Equity/"/><link rel="canonical" href="https://JuliaActuary.github.io/FinanceModels.jl/API/Equity/"/><script data-outdated-warner src="../../assets/warner.js"></script><link 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href="../Option/">Option</a></li><li><a class="tocitem" href="../Volatility/">Volatility</a></li></ul></li><li><a class="tocitem" href="../../faq/">FAQs</a></li></ul><div class="docs-version-selector field has-addons"><div class="control"><span class="docs-label button is-static is-size-7">Version</span></div><div class="docs-selector control is-expanded"><div class="select is-fullwidth is-size-7"><select id="documenter-version-selector"></select></div></div></div></nav><div class="docs-main"><header class="docs-navbar"><a class="docs-sidebar-button docs-navbar-link fa-solid fa-bars is-hidden-desktop" id="documenter-sidebar-button" href="#"></a><nav class="breadcrumb"><ul class="is-hidden-mobile"><li><a class="is-disabled">Modules</a></li><li class="is-active"><a href>Equity</a></li></ul><ul class="is-hidden-tablet"><li class="is-active"><a href>Equity</a></li></ul></nav><div class="docs-right"><a class="docs-navbar-link" href="https://github.com/JuliaActuary/FinanceModels.jl" title="View the repository on GitHub"><span class="docs-icon fa-brands"></span><span class="docs-label is-hidden-touch">GitHub</span></a><a class="docs-navbar-link" href="https://github.com/JuliaActuary/FinanceModels.jl/blob/master/docs/src/API/Equity.md" title="Edit source on GitHub"><span class="docs-icon fa-solid"></span></a><a class="docs-settings-button docs-navbar-link fa-solid fa-gear" id="documenter-settings-button" href="#" title="Settings"></a><a class="docs-article-toggle-button fa-solid fa-chevron-up" id="documenter-article-toggle-button" href="javascript:;" title="Collapse all docstrings"></a></div></header><article class="content" id="documenter-page"><h1 id="FinanceModels.Equity-API-Reference"><a class="docs-heading-anchor" href="#FinanceModels.Equity-API-Reference">FinanceModels.Equity API Reference</a><a id="FinanceModels.Equity-API-Reference-1"></a><a class="docs-heading-anchor-permalink" href="#FinanceModels.Equity-API-Reference" title="Permalink"></a></h1><ul><li><a href="#FinanceModels.Equity.BlackScholesMerton"><code>FinanceModels.Equity.BlackScholesMerton</code></a></li><li><a href="#FinanceModels.Equity.volatility-Tuple{FinanceModels.Volatility.Constant, Any, Any}"><code>FinanceModels.Equity.volatility</code></a></li></ul><h2 id="Exported-API"><a class="docs-heading-anchor" href="#Exported-API">Exported API</a><a id="Exported-API-1"></a><a class="docs-heading-anchor-permalink" href="#Exported-API" title="Permalink"></a></h2><article class="docstring"><header><a class="docstring-article-toggle-button fa-solid fa-chevron-down" href="javascript:;" title="Collapse docstring"></a><a class="docstring-binding" id="FinanceModels.Equity" href="#FinanceModels.Equity"><code>FinanceModels.Equity</code></a> — <span class="docstring-category">Module</span></header><section><div><p>The <code>Equity</code> module provides equity-related model definitions.</p><p>See also: the <a href="../Volatility/#FinanceModels.Volatility-API-Reference"><code>Volatility</code></a> module.</p></div><a class="docs-sourcelink" target="_blank" href="https://github.com/JuliaActuary/FinanceModels.jl/blob/b58fce944780da33b6c2aefb771557280f787957/src/model/Equity.jl#L1-L5">source</a></section></article><h2 id="Unexported-API"><a class="docs-heading-anchor" href="#Unexported-API">Unexported API</a><a id="Unexported-API-1"></a><a class="docs-heading-anchor-permalink" href="#Unexported-API" title="Permalink"></a></h2><article class="docstring"><header><a class="docstring-article-toggle-button fa-solid fa-chevron-down" href="javascript:;" title="Collapse docstring"></a><a class="docstring-binding" id="FinanceModels.Equity.BlackScholesMerton" href="#FinanceModels.Equity.BlackScholesMerton"><code>FinanceModels.Equity.BlackScholesMerton</code></a> — <span class="docstring-category">Type</span></header><section><div><pre><code class="language-julia hljs">BlackScholesMerton(r, q, σ) &lt;: AbstractEquityModel</code></pre><p>A struct representing the Black-Scholes-Merton model for equity prices.</p><p><strong>Arguments</strong></p><ul><li><code>r</code>: The risk-free rate (continuously compounded scalar or a <code>FinanceCore.Rate</code> type).</li><li><code>q</code>: The dividend yield (continuously compounded scalar or a <code>FinanceCore.Rate</code> type).</li><li><code>σ</code>: The volatility model of the underlying asset (see <a href="../Volatility/#FinanceModels.Volatility-API-Reference"><code>Volatility</code></a> module) </li></ul><p><strong>Fields</strong></p><ul><li><code>r</code>: The risk-free rate.</li><li><code>q</code>: The dividend yield.</li><li><code>σ</code>: The volatility model of the underlying asset (see <a href="../Volatility/#FinanceModels.Volatility-API-Reference"><code>Volatility</code></a> module)</li></ul><p>When <a href="../FinanceCore/#Base.:--Union{Tuple{T}, Tuple{N}, Tuple{Rate{N, T}, Real}} where {N, T&lt;:Continuous}"><code>fit</code></a>ting, the volatility will be solved-for; volatility itself is a sub-model that will be optimized with a default optimization bound of <code>0.0 .. 10.0</code></p><p><strong>Examples</strong></p><pre><code class="language-julia-repl hljs">julia&gt; model = BlackScholesMerton(0.05, 0.02, 0.2)
BlackScholesMerton{Float64, Float64, Float64}(0.05, 0.02, 0.2)</code></pre><p>Valuing an option:</p><pre><code class="language-julia hljs">m = Equity.BlackScholesMerton(0.01, 0.02, 0.15)

a = Option.EuroCall(CommonEquity(), 1.0, 1.0)

@test pv(m, a) ≈ 0.05410094201902403</code></pre><p>Fitting a set of option prices:</p><pre><code class="language-julia hljs">qs = [
Quote(0.0541, a),
Quote(0.072636, b),
]
m = Equity.BlackScholesMerton(0.01, 0.02, Volatility.Constant())
fit(m, qs)
@test fit(m, qs).σ ≈ 0.15 atol = 1e-4
</code></pre></div><a class="docs-sourcelink" target="_blank" href="https://github.com/JuliaActuary/FinanceModels.jl/blob/b58fce944780da33b6c2aefb771557280f787957/src/model/Equity.jl#L17-L61">source</a></section></article><article class="docstring"><header><a class="docstring-article-toggle-button fa-solid fa-chevron-down" href="javascript:;" title="Collapse docstring"></a><a class="docstring-binding" id="FinanceModels.Equity.volatility-Tuple{FinanceModels.Volatility.Constant, Any, Any}" href="#FinanceModels.Equity.volatility-Tuple{FinanceModels.Volatility.Constant, Any, Any}"><code>FinanceModels.Equity.volatility</code></a> — <span class="docstring-category">Method</span></header><section><div><pre><code class="language-julia hljs">volatility(volatility_model,strike_ratio,time_to_maturity)</code></pre><p>Returns the volatility associated with the money-ness (strike/price ratio) and time to maturity.</p></div><a class="docs-sourcelink" target="_blank" href="https://github.com/JuliaActuary/FinanceModels.jl/blob/b58fce944780da33b6c2aefb771557280f787957/src/model/Equity.jl#L76-L80">source</a></section></article><p>Please <a href="https://github.com/JuliaActuary/FinanceModels.jl/issues">open an issue</a> if you encounter any issues or confusion with the package.</p></article><nav class="docs-footer"><a class="docs-footer-prevpage" href="../Bond/">« Bond</a><a class="docs-footer-nextpage" href="../Option/">Option »</a><div class="flexbox-break"></div><p class="footer-message">Powered by <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> and the <a href="https://julialang.org/">Julia Programming Language</a>.</p></nav></div><div class="modal" id="documenter-settings"><div class="modal-background"></div><div class="modal-card"><header class="modal-card-head"><p class="modal-card-title">Settings</p><button class="delete"></button></header><section class="modal-card-body"><p><label class="label">Theme</label><div class="select"><select id="documenter-themepicker"><option value="auto">Automatic (OS)</option><option value="documenter-light">documenter-light</option><option value="documenter-dark">documenter-dark</option></select></div></p><hr/><p>This document was generated with <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> version 1.3.0 on <span class="colophon-date" title="Friday 8 March 2024 13:41">Friday 8 March 2024</span>. Using Julia version 1.10.2.</p></section><footer class="modal-card-foot"></footer></div></div></div></body></html>
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