Index CDS option instrument. More...

#include <qle/instruments/indexcdsoption.hpp>

Inheritance diagram for IndexCdsOption:

Classes
class	arguments
	Arguments for index CDS option calculation More...

class	engine
	Base class for index CDS option engines. More...

class	results
	Results from index CDS option calculation More...

Public Member Functions
	IndexCdsOption (const boost::shared_ptr< IndexCreditDefaultSwap > &swap, const boost::shared_ptr< QuantLib::Exercise > &exercise, QuantLib::Real strike, CdsOption::StrikeType strikeType_=CdsOption::Spread, Settlement::Type settlementType=Settlement::Cash, QuantLib::Real tradeDateNtl=QuantLib::Null< QuantLib::Real >(), QuantLib::Real realisedFep=QuantLib::Null< QuantLib::Real >(), bool knocksOut=false, const QuantLib::Period &indexTerm=5 *Years)

Inspectors
const boost::shared_ptr< IndexCreditDefaultSwap > &	underlyingSwap () const

Calculations
QuantLib::Rate	atmRate () const

QuantLib::Real	riskyAnnuity () const

QuantLib::Volatility	impliedVolatility (QuantLib::Real price, const QuantLib::Handle< QuantLib::YieldTermStructure > &termStructureSwapCurrency, const QuantLib::Handle< QuantLib::YieldTermStructure > &termStructureTradeCollateral, const QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > &, QuantLib::Real recoveryRate, QuantLib::Real accuracy=1.e-4, QuantLib::Size maxEvaluations=100, QuantLib::Volatility minVol=1.0e-7, QuantLib::Volatility maxVol=4.0) const

Instrument interface
bool	isExpired () const override

void	setupArguments (QuantLib::PricingEngine::arguments *args) const override

Detailed Description

Index CDS option instrument.

Classes