Digital Option Related Functions

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Constructor Functions

`Excel: =McpEuropeanDigital(args1, args2, args3, args4, args5, fmt='VP')`

**`Python: McpEuropeanDigital(*args)`**

Function: Constructs a digital option object.
Parameters:
- args1~args5 or *args: Parameter groups:
  1. First Parameter Passing Method:
    - ReferenceDate: Trading or valuation date.
    - DigitalType: Digital type (enumeration value, such as CashOrNothing or AssetOrNothing).
    - BuySell: Buy or sell direction (enumeration value, such as Buy or Sell).
    - SpotPx: Spot price.
    - StrikePx: Strike price.
    - Volatility: Volatility.
    - ExpiryDate: Expiry date.
    - DeliveryDate: Delivery Date.
    - DomesticRate: Interest rate for currency 2.
    - ForeignRate: Interest rate for currency 1.
    - PremiumDate: Option premium payment date.
    - FaceValue: Principal, default value 1.
    - Payoff: Payoff.
    - Calendar: Holiday calendar object.
    - DayCounter: Day count convention, default value Act365Fixed.
    - PricingMethod: Pricing method, default value BLACKSCHOLES.
    - ReplicateDelta：The interpolation between the strike prices of the two European options constructed in the replication-based pricing of digital options.
    - RR25：25RR market data.
    - BF25：25BF market data.
- fmt: Parameter format, default value 'VP',Excel-specific parameters.
Returns: Digital option object.

Utility Functions

`Excel: =McpPrice(Obj, isAmount)`

**`Python: Price(*args)`**

Function: Calculates the option premium.
Parameters:
- Obj: Digital option object.
- isAmount: Whether to return the amount (default True, returns the premium in currency 2; False returns the premium in currency 1).
- *args：is a dictionary, does not require the Obj parameter, other parameters are the same as those in Excel.
Returns: Option premium.

`Excel: =McpDelta(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)`

`Python: Delta(isCCY2=False, isAmount=True, npricingMethod=1)`

Function: Calculates the Delta of the option.
Parameters:
- obj: Digital option object,Python API does not require this parameter.
- isCcy2: Whether it is currency 2. True indicates currency 2, False indicates otherwise.
- isAmount: Whether to calculate the amount, default value True.
- pricingMethod: Pricing method, default value 1.
- isClosedFormMethod: Whether to use the closed-form method to calculate Greeks, default value True. If True, the Greeks are calculated using the Black-Scholes model regardless of the model used for premium calculation; otherwise, the selected model is used for Greeks calculation.
Returns: Delta.

`Excel: =McpForwardDelta(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)`

`Python: ForwardDelta(isCCY2=False, isAmount=True, npricingMethod=1)`

Function: Calculates the Forward Delta of the option.
Parameters:
- obj: Digital option object,Python API does not require this parameter.
- isCcy2: Whether it is currency 2. True indicates currency 2, False indicates otherwise.
- isAmount: Whether to calculate the amount, default value True.
- pricingMethod: Pricing method, default value 1.
- isClosedFormMethod: Whether to use the closed-form method to calculate Greeks, default value True. If True, the Greeks are calculated using the Black-Scholes model regardless of the model used for premium calculation; otherwise, the selected model is used for Greeks calculation.
Returns: Forward Delta.

`Excel: = McpVega(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)`

`Python: Vega(isCCY2=False, isAmount=True, npricingMethod=1)`

Function: Calculates the Vega of the option.
Parameters:
- obj: Digital option object,Python API does not require this parameter.
- isCcy2: Whether it is currency 2. True indicates currency 2, False indicates otherwise.
- isAmount: Whether to calculate the amount, default value True.
- pricingMethod: Pricing method, default value 1.
- isClosedFormMethod: Whether to use the closed-form method to calculate Greeks, default value True. If True, the Greeks are calculated using the Black-Scholes model regardless of the model used for premium calculation; otherwise, the selected model is used for Greeks calculation.
Returns: Vega.

`Excel: =McpGamma(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)`

`Python: Gamma(isCCY2=False, isAmount=True, npricingMethod=1)`

Function: Calculates the Gamma of the option.
Parameters:
- obj: Digital option object,Python API does not require this parameter.
- isCcy2: Whether it is currency 2. True indicates currency 2, False indicates otherwise.
- isAmount: Whether to calculate the amount, default value True.
- pricingMethod: Pricing method, default value 1.
- isClosedFormMethod: Whether to use the closed-form method to calculate Greeks, default value True. If True, the Greeks are calculated using the Black-Scholes model regardless of the model used for premium calculation; otherwise, the selected model is used for Greeks calculation.
Returns: Gamma.

`Excel: =McpTheta(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)`

`Python: Theta(self, isCCY2=False, isAmount=True, npricingMethod=1)`

Function: Calculates the Theta of the option.
Parameters:
- obj: Digital option object,Python API does not require this parameter.
- isCcy2: Whether it is currency 2. True indicates currency 2, False indicates otherwise.
- isAmount: Whether to calculate the amount, default value True.
- pricingMethod: Pricing method, default value 1.
- isClosedFormMethod: Whether to use the closed-form method to calculate Greeks, default value True. If True, the Greeks are calculated using the Black-Scholes model regardless of the model used for premium calculation; otherwise, the selected model is used for Greeks calculation.
Returns: Theta.

`Excel: =McpVanna(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)`

`Python: Vanna(self, isCCY2=False, isAmount=True, npricingMethod=1)`

Function: Calculates the Vanna of the option.
Parameters:
- obj: Digital option object,Python API does not require this parameter.
- isCcy2: Whether it is currency 2. True indicates currency 2, False indicates otherwise.
- isAmount: Whether to calculate the amount, default value True.
- pricingMethod: Pricing method, default value 1.
- isClosedFormMethod: Whether to use the closed-form method to calculate Greeks, default value True. If True, the Greeks are calculated using the Black-Scholes model regardless of the model used for premium calculation; otherwise, the selected model is used for Greeks calculation.
Returns: Vanna.

`Excel: =McpVolga(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)`

`Python: Volga(isCCY2=False, isAmount=True, npricingMethod=1)`

Function: Calculates the Volga of the option.
Parameters:
- obj: Digital option object,Python API does not require this parameter.
- isCcy2: Whether it is currency 2. True indicates currency 2, False indicates otherwise.
- isAmount: Whether to calculate the amount, default value True.
- pricingMethod: Pricing method, default value 1.
- isClosedFormMethod: Whether to use the closed-form method to calculate Greeks, default value True. If True, the Greeks are calculated using the Black-Scholes model regardless of the model used for premium calculation; otherwise, the selected model is used for Greeks calculation.
Returns: Volga.

`Excel: =McpRho(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)`

`Python: Rho(isCCY2=False, isAmount=True, npricingMethod=1)`

Function: Calculates the Rho of the option.
Parameters:
- obj: Digital option object,Python API does not require this parameter.
- isCcy2: Whether it is currency 2. True indicates currency 2, False indicates otherwise.
- isAmount: Whether to calculate the amount, default value True.
- pricingMethod: Pricing method, default value 1.
- isClosedFormMethod: Whether to use the closed-form method to calculate Greeks, default value True. If True, the Greeks are calculated using the Black-Scholes model regardless of the model used for premium calculation; otherwise, the selected model is used for Greeks calculation.
Returns: Rho.