CdsOption Class Reference
CDS option. More...
#include <ql/experimental/credit/cdsoption.hpp>
Inheritance diagram for CdsOption:

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 |
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.