#include <ored/portfolio/creditdefaultswapoption.hpp>

Inheritance diagram for CreditDefaultSwapOption::AuctionSettlementInformation:

Public Member Functions
	AuctionSettlementInformation ()
	Default constructor.

	AuctionSettlementInformation (const QuantLib::Date &auctionSettlementDate, QuantLib::Real &auctionFinalPrice)
	Detailed constructor.

Inspectors
const QuantLib::Date &	auctionSettlementDate () const

QuantLib::Real	auctionFinalPrice () const

Public Member Functions inherited from XMLSerializable
void	fromFile (const std::string &filename)

void	toFile (const std::string &filename)

void	fromXMLString (const std::string &xml)
	Parse from XML string.

std::string	toXMLString ()
	Parse from XML string.

Serialisation
void	fromXML (XMLNode *node) override

XMLNode *	toXML (XMLDocument &doc) override

Detailed Description

Hold information on a default that has occurred and for which an auction has been held.

If the CDS option has knockout set to false, a default payment will be made on expiry of the option in the event of a default. Also, if knockout is set to true, we would still need to know this amount between the auction date and the auction settlement date, typically 3 business days, to assign a value to the option trade. Between the default date and the auction date, the recovery rate still trades so there should be enough information in the market data to price the trade using the CDS option engine.

Public Member Functions

Serialisation

Detailed Description