QuantLib_CdsOption man page

CdsOption — CDS option.  

Synopsis

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

Inherits 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

Additional Inherited Members

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 Instrument.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages CdsOption(3), riskyAnnuity(3) and underlyingSwap(3) are aliases of QuantLib_CdsOption(3).

Wed Aug 2 2017 Version 1.10 QuantLib