- QuantLib
- CdsOption
 
CDS option. More...
#include <ql/experimental/credit/cdsoption.hpp>

| Classes | |
| class | arguments | 
| Arguments for CDS-option calculation  More... | |
| class | engine | 
| base class for swaption engines  More... | |
| class | results | 
| Results from CDS-option calculation  More... | |
| 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 | 
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.
| 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.