CDS option helper. More...

#include <qle/models/cdsoptionhelper.hpp>

Inheritance diagram for CdsOptionHelper:

Collaboration diagram for CdsOptionHelper:

Public Member Functions
	CdsOptionHelper (const Date &exerciseDate, const Handle< Quote > &volatility, const Protection::Side side, const Schedule &schedule, const BusinessDayConvention paymentConvention, const DayCounter &dayCounter, const Handle< DefaultProbabilityTermStructure > &probability, const Real recoveryRate, const Handle< YieldTermStructure > &termStructure, const Rate spread=Null< Rate >(), const Rate upfront=Null< Rate >(), const bool settlesAccrual=true, const CreditDefaultSwap::ProtectionPaymentTime proteectionPaymentTime=CreditDefaultSwap::ProtectionPaymentTime::atDefault, const Date protectionStart=Date(), const Date upfrontDate=Date(), const QuantLib::ext::shared_ptr< Claim > &claim=QuantLib::ext::shared_ptr< Claim >(), const BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError)

virtual void	addTimesTo (std::list< Time > &times) const override

virtual Real	modelValue () const override

virtual Real	blackPrice (Volatility volatility) const override

QuantLib::ext::shared_ptr< CreditDefaultSwap >	underlying () const

QuantLib::ext::shared_ptr< QuantExt::CdsOption >	option () const

Private Attributes
Handle< YieldTermStructure >	termStructure_

QuantLib::ext::shared_ptr< CreditDefaultSwap >	cds_

QuantLib::ext::shared_ptr< QuantExt::CdsOption >	option_

QuantLib::ext::shared_ptr< SimpleQuote >	blackVol_

QuantLib::ext::shared_ptr< PricingEngine >	blackEngine_

Detailed Description

CDS option helper.

Definition at line 39 of file cdsoptionhelper.hpp.

Constructor & Destructor Documentation

◆ CdsOptionHelper()

CdsOptionHelper	(	const Date &	exerciseDate,
		const Handle< Quote > &	volatility,
		const Protection::Side	side,
		const Schedule &	schedule,
		const BusinessDayConvention	paymentConvention,
		const DayCounter &	dayCounter,
		const Handle< DefaultProbabilityTermStructure > &	probability,
		const Real	recoveryRate,
		const Handle< YieldTermStructure > &	termStructure,
		const Rate	spread = `Null<Rate>()`,
		const Rate	upfront = `Null<Rate>()`,
		const bool	settlesAccrual = `true`,
		const CreditDefaultSwap::ProtectionPaymentTime	proteectionPaymentTime = `CreditDefaultSwap::ProtectionPaymentTime::atDefault`,
		const Date	protectionStart = `Date()`,
		const Date	upfrontDate = `Date()`,
		const QuantLib::ext::shared_ptr< Claim > &	claim = `QuantLib::ext::shared_ptr<Claim>()`,
		const BlackCalibrationHelper::CalibrationErrorType	errorType = `BlackCalibrationHelper::RelativePriceError`
	)

Definition at line 32 of file cdsoptionhelper.cpp.

    : BlackCalibrationHelper(volatility, errorType), termStructure_(termStructure),
      blackVol_(QuantLib::ext::make_shared<SimpleQuote>(0.0)) {
 
    QuantLib::ext::shared_ptr<PricingEngine> cdsEngine =
        QuantLib::ext::make_shared<QuantExt::MidPointCdsEngine>(probability, recoveryRate, termStructure);
 
    QuantLib::ext::shared_ptr<CreditDefaultSwap> tmp;
    if (upfront == Null<Real>())
        tmp = QuantLib::ext::shared_ptr<CreditDefaultSwap>(
            new CreditDefaultSwap(side, 1.0, 0.02, schedule, paymentConvention, dayCounter, settlesAccrual,
                                  protectionPaymentTime, protectionStart, claim));
    else
        tmp = QuantLib::ext::shared_ptr<CreditDefaultSwap>(
            new CreditDefaultSwap(side, 1.0, upfront, 0.02, schedule, paymentConvention, dayCounter, settlesAccrual,
                                  protectionPaymentTime, protectionStart, upfrontDate, claim));
    tmp->setPricingEngine(cdsEngine);
 
    Real strike = spread == Null<Real>() ? tmp->fairSpreadClean() : spread;
    if (upfront == Null<Real>())
        cds_ = QuantLib::ext::shared_ptr<CreditDefaultSwap>(
            new CreditDefaultSwap(side, 1.0, strike, schedule, paymentConvention, dayCounter, settlesAccrual,
                                  protectionPaymentTime, protectionStart, claim));
    else
        cds_ = QuantLib::ext::shared_ptr<CreditDefaultSwap>(
            new CreditDefaultSwap(side, 1.0, upfront, strike, schedule, paymentConvention, dayCounter, settlesAccrual,
                                  protectionPaymentTime, protectionStart, upfrontDate, claim));
 
    cds_->setPricingEngine(cdsEngine);
 
    QuantLib::ext::shared_ptr<Exercise> exercise = QuantLib::ext::make_shared<EuropeanExercise>(exerciseDate);
 
    option_ = QuantLib::ext::make_shared<CdsOption>(cds_, exercise, true);
    Handle<BlackVolTermStructure> h(
        QuantLib::ext::make_shared<BlackConstantVol>(0, NullCalendar(), Handle<Quote>(blackVol_), Actual365Fixed()));
 
    blackEngine_ = QuantLib::ext::make_shared<BlackCdsOptionEngine>(
        probability, recoveryRate, termStructure, Handle<CreditVolCurve>(QuantLib::ext::make_shared<CreditVolCurveWrapper>(h)));
}

Member Function Documentation

◆ addTimesTo()

virtual void addTimesTo ( std::list< Time > & times ) const

overridevirtual

Definition at line 53 of file cdsoptionhelper.hpp.

53{}

◆ modelValue()

Real modelValue ( ) const

overridevirtual

Definition at line 81 of file cdsoptionhelper.cpp.

                                       {
    calculate();
    option_->setPricingEngine(engine_);
    return option_->NPV();
}

◆ blackPrice()

Real blackPrice ( Volatility volatility ) const

overridevirtual

Definition at line 87 of file cdsoptionhelper.cpp.

                                                       {
    calculate();
    blackVol_->setValue(sigma);
    option_->setPricingEngine(blackEngine_);
    Real value = option_->NPV();
    option_->setPricingEngine(engine_);
    return value;
}

◆ underlying()

QuantLib::ext::shared_ptr< CreditDefaultSwap > underlying ( ) const

Definition at line 57 of file cdsoptionhelper.hpp.

57{ return cds_; }

◆ option()

QuantLib::ext::shared_ptr< QuantExt::CdsOption > option ( ) const

Definition at line 58 of file cdsoptionhelper.hpp.

58{ return option_; }

Member Data Documentation

◆ termStructure_

Handle<YieldTermStructure> termStructure_

private

Definition at line 61 of file cdsoptionhelper.hpp.

◆ cds_

QuantLib::ext::shared_ptr<CreditDefaultSwap> cds_

private

Definition at line 62 of file cdsoptionhelper.hpp.

◆ option_

QuantLib::ext::shared_ptr<QuantExt::CdsOption> option_

private

Definition at line 63 of file cdsoptionhelper.hpp.

◆ blackVol_

QuantLib::ext::shared_ptr<SimpleQuote> blackVol_

private

Definition at line 64 of file cdsoptionhelper.hpp.

◆ blackEngine_

QuantLib::ext::shared_ptr<PricingEngine> blackEngine_

private

Definition at line 65 of file cdsoptionhelper.hpp.

Public Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ CdsOptionHelper()

Member Function Documentation

◆ addTimesTo()

◆ modelValue()

◆ blackPrice()

◆ underlying()

◆ option()

Member Data Documentation

◆ termStructure_

◆ cds_

◆ option_

◆ blackVol_

◆ blackEngine_