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

Public Member Functions | |
CdsOption (const Date &expiry, Rate strike, const Handle< Quote > &volatility, const Issuer &issuer, Protection::Side side, Real nominal, const Schedule &premiumSchedule, const DayCounter &dayCounter, bool settlePremiumAccrual, const Handle< YieldTermStructure > &yieldTS) | |
Real | forward () const |
Real | riskyAnnuity () const |
bool | isExpired () const |
returns whether the instrument is still tradable. |
Detailed Description
CDS option.
- Warning:
- the current implementation does not take premium accrual into account
- Warning:
- the current implementation quietly assumes that the expiry equals the start date of the underlying CDS
- Possible enhancements:
- take premium accrual into account
- Possible enhancements:
- allow expiry to be different from CDS start date