calculate_structured_product

io.github.simonmak-ascent/fair-value · Verify this server

Structured-product engine. Value HKEX-listed and OTC structures: CBBCs, derivative and inline warrants, equity-linked notes and investments, autocallables, accumulators and decumulators, credit-linked notes, TRS, and CFDs. Use this for equity-linked and credit-linked payoff structures; for a plain option or warrant use calculate_option, for a convertible or exchangeable bond use calculate_convertible_bond, and for a vanilla bond or term structure use calculate_fixed_income. Methods: cbbc: notional, spot, strike, barrier, barrier_type, maturity, risk_free, volatility, option_type; cbbc_residual: notional, spot, call_price, entitlement, barrier, barrier_type, maturity, risk_free, volatility, option_type; derivative_warrant: notional, spot, strike, maturity, risk_free, volatility, average_type, option_type; inline_warrant: notional, spot, lower_strike, upper_strike, maturity, risk_free, volatility, payout; inline_warrant_avg: notional, spot, lower_strike, upper_strike, maturity, risk_free, volatility, payout, fixing_days; eli/eln: notional, spot, strike, maturity, risk_free, volatility, coupon_rate; autocallable: notional, spot, knock_out_level, observation_dates, coupon_rate_structured, maturity, risk_free, volatility; credit_linked_note: notional, credit_spread, recovery, maturity, risk_free, coupon_rate_structured; accumulator/decumulator: notional, spot, strike, knock_out_level, observation_dates, risk_free, volatility; trs: notional, spot, maturity, risk_free, dividend_yield; cfd: notional, spot, strike, maturity, risk_free. Supply exactly one method with its declared inputs (no defaults). An unknown method, a missing input, or an extra field returns an error envelope (code INVALID_ARGUMENT) instead of raising.