QuantLib_CdsOption man page

CdsOption — CDS option.  


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

Inherits Option.


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


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


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.


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Referenced By

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

Mon Apr 30 2018 Version 1.12.1 QuantLib