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QuantLib_CdsOption
Langue: en
Version: 382504 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::CdsOption -CDS option.
SYNOPSIS
#include <ql/experimental/credit/cdsoption.hpp>
Inherits QuantLib::Option.
Classes
class arguments
Arguments for CDS-option calculation
class engine
base class for swaption engines
class results
Results from CDS-option calculation
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.
Author
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