CdsOption Class Reference

CDS option. More...

#include <qle/instruments/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

Public Types
enum	StrikeType { Price , Spread }

Public Member Functions
	CdsOption (const boost::shared_ptr< CreditDefaultSwap > &swap, const boost::shared_ptr< Exercise > &exercise, bool knocksOut=true, const Real strike=Null< Real >(), const StrikeType strikeType=StrikeType::Spread)
Instrument interface
bool	isExpired () const override
void	setupArguments (PricingEngine::arguments *) const override
Inspectors
const boost::shared_ptr< CreditDefaultSwap > &	underlyingSwap () const

Calculations
Rate	atmRate () const
Real	riskyAnnuity () const
Volatility	impliedVolatility (Real price, const Handle< QuantLib::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.