CdsOption Class Reference

CDS option. More...

#include <qle/instruments/cdsoption.hpp>

Inheritance diagram for CdsOption:

Collaboration diagram for CdsOption:

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

Public Types
enum	StrikeType { Price , Spread }

Public Member Functions
	CdsOption (const QuantLib::ext::shared_ptr< CreditDefaultSwap > &swap, const QuantLib::ext::shared_ptr< Exercise > &exercise, bool knocksOut=true, const Real strike=Null< Real >(), const StrikeType strikeType=StrikeType::Spread)
Instrument interface
bool	isExpired () const override
void	setupArguments (PricingEngine::arguments *) const override
Inspectors
const QuantLib::ext::shared_ptr< CreditDefaultSwap > &	underlyingSwap () const

Calculations
QuantLib::ext::shared_ptr< CreditDefaultSwap >	swap_
bool	knocksOut_
Real	strike_
StrikeType	strikeType_
Real	riskyAnnuity_
Rate	atmRate () const
Real	riskyAnnuity () const
Volatility	impliedVolatility (Real price, const Handle< QuantLib::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
void	setupExpired () const override
void	fetchResults (const PricingEngine::results *) const override

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.

Definition at line 67 of file cdsoption.hpp.

Member Enumeration Documentation

StrikeType

enum StrikeType

Enumerator
Price
Spread

Definition at line 73 of file cdsoption.hpp.

{ Price, Spread };

Constructor & Destructor Documentation

CdsOption()

CdsOption	(	const QuantLib::ext::shared_ptr< CreditDefaultSwap > &	swap,
		const QuantLib::ext::shared_ptr< Exercise > &	exercise,
		bool	knocksOut = true,
		const Real	strike = Null<Real>(),
		const StrikeType	strikeType = StrikeType::Spread
	)

Definition at line 85 of file cdsoption.cpp.

    : Option(QuantLib::ext::shared_ptr<Payoff>(new NullPayoff), exercise), swap_(swap), knocksOut_(knocksOut),
      strike_(strike == Null<Real>() ? swap_->runningSpread() : strike), strikeType_(strikeType) {
    registerWith(swap_);
}

Member Function Documentation

isExpired()

bool isExpired ( ) const

override

Definition at line 92 of file cdsoption.cpp.

{ return detail::simple_event(exercise_->dates().back()).hasOccurred(); }

Here is the caller graph for this function:

setupArguments()

void setupArguments ( PricingEngine::arguments *  args ) const

override

Definition at line 99 of file cdsoption.cpp.

                                                                 {
    swap_->setupArguments(args);
    Option::setupArguments(args);
 
    CdsOption::arguments* arguments = dynamic_cast<CdsOption::arguments*>(args);
 
    QL_REQUIRE(arguments != 0, "wrong argument type");
 
    arguments->swap = swap_;
    arguments->knocksOut = knocksOut_;
    arguments->strike = strike_;
    arguments->strikeType = strikeType_;
}

underlyingSwap()

const QuantLib::ext::shared_ptr< CreditDefaultSwap > & underlyingSwap

(

)

const

Definition at line 86 of file cdsoption.hpp.

{ return swap_; }

atmRate()

Rate atmRate

(

)

const

Definition at line 120 of file cdsoption.cpp.

{ return swap_->fairSpreadClean(); }

riskyAnnuity()

Real riskyAnnuity

(

)

const

Definition at line 122 of file cdsoption.cpp.

                                   {
    calculate();
    QL_REQUIRE(riskyAnnuity_ != Null<Real>(), "risky annuity not provided");
    return riskyAnnuity_;
}

Here is the caller graph for this function:

impliedVolatility()

Volatility impliedVolatility	(	Real	price,
		const Handle< QuantLib::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

Definition at line 128 of file cdsoption.cpp.

                                                                 {
    calculate();
    QL_REQUIRE(!isExpired(), "instrument expired");
 
    Volatility guess = 0.10;
 
    ImpliedVolHelper f(*this, probability, recoveryRate, termStructure, targetValue);
    Brent solver;
    solver.setMaxEvaluations(maxEvaluations);
    return solver.solve(f, accuracy, guess, minVol, maxVol);
}

Here is the call graph for this function:

setupExpired()

void setupExpired ( ) const

overrideprivate

Definition at line 94 of file cdsoption.cpp.

                                   {
    Instrument::setupExpired();
    riskyAnnuity_ = 0.0;
}

fetchResults()

void fetchResults ( const PricingEngine::results *  r ) const

overrideprivate

Definition at line 113 of file cdsoption.cpp.

                                                                {
    Option::fetchResults(r);
    const CdsOption::results* results = dynamic_cast<const CdsOption::results*>(r);
    QL_ENSURE(results != 0, "wrong results type");
    riskyAnnuity_ = results->riskyAnnuity;
}

Member Data Documentation

swap_

QuantLib::ext::shared_ptr<CreditDefaultSwap> swap_

private

Definition at line 99 of file cdsoption.hpp.

knocksOut_

bool knocksOut_

private

Definition at line 100 of file cdsoption.hpp.

strike_

Real strike_

private

Definition at line 101 of file cdsoption.hpp.

strikeType_

StrikeType strikeType_

private

Definition at line 102 of file cdsoption.hpp.

riskyAnnuity_

Real riskyAnnuity_

mutableprivate

Definition at line 104 of file cdsoption.hpp.