CdsOption Class Reference

CDS option. More...

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

Inheritance diagram for CdsOption:

List of all members.

Classes

class  arguments
 Arguments for CDS-option calculation More...
class  engine
 base class for swaption engines More...
class  results
 Results from CDS-option calculation More...

Public Member Functions

 CdsOption (const boost::shared_ptr< CreditDefaultSwap > &swap, const boost::shared_ptr< Exercise > &exercise, bool knocksOut=true)
Instrument interface
bool isExpired () const
 returns whether the instrument might have value greater than zero.
void setupArguments (PricingEngine::arguments *) const
Inspectors
const boost::shared_ptr
< CreditDefaultSwap > & 
underlyingSwap () const
Calculations
Rate atmRate () const
Real riskyAnnuity () const
Volatility impliedVolatility (Real price, const Handle< 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.


Member Function Documentation

void setupArguments ( PricingEngine::arguments *   )  const [virtual]

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Option.