Function straddle
pub(crate) fn straddle(
first: &PyInstrument,
second: &PyInstrument,
) -> PyResult<PyInstrument>Expand description
Two options of one strategy booked as one product — a straddle, or a
strangle when the strikes differ: FX options on one pair or European
swaptions in one currency. Worth the options’ sum; Instrument.implied_vol
quotes it on one flat vol, the way a straddle is quoted.