CdsOption Class Reference

CDS option. More...

#include <ql/experimental/credit/cdsoption.hpp>

Inheritance diagram for CdsOption:

List of all members.

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