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QuantLib_CdsOption

NAME

QuantLib::CdsOption -

CDS option.

SYNOPSIS

#include <ql/experimental/credit/cdsoption.hpp>

Inherits QuantLib::Option.

Classes

class arguments
Arguments for CDS-option calculation
class engine
base class for swaption engines
class results
Results from CDS-option calculation

Public Member Functions

CdsOption (const boost::shared_ptr< CreditDefaultSwap > &swap, const boost::shared_ptr< Exercise > &exercise, bool knocksOut=true)

Instrument interface

 

bool isExpired () const
returns whether the instrument might have value greater than zero.
void setupArguments (PricingEngine::arguments *) const

Inspectors

 

const boost::shared_ptr< CreditDefaultSwap > & underlyingSwap () const

Calculations

 

Rate atmRate () const

Real riskyAnnuity () const

Volatility impliedVolatility (Real price, const Handle< YieldTermStructure > &termStructure, const Handle< DefaultProbabilityTermStructure > &, Real recoveryRate, Real accuracy=1.e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const

Detailed Description

CDS option.

The side of the swaption is set by choosing the side of the CDS. A receiver CDS option is a right to buy an underlying CDS selling protection and receiving a coupon. A payer CDS option is a right to buy an underlying CDS buying protection and paying coupon.

Member Function Documentation

void setupArguments (PricingEngine::arguments *) const [virtual]When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Option.

Author

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