Ito.jl

A toolkit for financial computing

Payoff and Instruments

VanillaPayoff(type::Symbol, strike)
A optional payout. type can be :call or :put

ForwardPayoff(type::Symbol, strike)
A guaranteed forward payoff. type can be :long or :short

VanillaOption(payoff, excercise)
A vanilla call or put option, paying off at the excercise date

AmericanOption(payoff, excercise)
An American call or put option, paying off at any time untill the excercise date