IndexCdsOption Class Reference

Index CDS option instrument. More...

#include <qle/instruments/indexcdsoption.hpp>

Inheritance diagram for IndexCdsOption:

Collaboration diagram for IndexCdsOption:

Classes
class	arguments
	Arguments for index CDS option calculation More...
class	engine
	Base class for index CDS option engines. More...
class	results
	Results from index CDS option calculation More...

Public Member Functions
	IndexCdsOption (const QuantLib::ext::shared_ptr< IndexCreditDefaultSwap > &swap, const QuantLib::ext::shared_ptr< QuantLib::Exercise > &exercise, QuantLib::Real strike, CdsOption::StrikeType strikeType_=CdsOption::Spread, Settlement::Type settlementType=Settlement::Cash, QuantLib::Real tradeDateNtl=QuantLib::Null< QuantLib::Real >(), QuantLib::Real realisedFep=QuantLib::Null< QuantLib::Real >(), const QuantLib::Period &indexTerm=5 *Years)
Inspectors
const QuantLib::ext::shared_ptr< IndexCreditDefaultSwap > &	underlyingSwap () const

Calculations
QuantLib::ext::shared_ptr< IndexCreditDefaultSwap >	swap_
QuantLib::Real	strike_
CdsOption::StrikeType	strikeType_
Settlement::Type	settlementType_
QuantLib::Real	tradeDateNtl_
QuantLib::Real	realisedFep_
QuantLib::Period	indexTerm_
QuantLib::Real	riskyAnnuity_
QuantLib::Rate	atmRate () const
QuantLib::Real	riskyAnnuity () const
QuantLib::Volatility	impliedVolatility (QuantLib::Real price, const QuantLib::Handle< QuantLib::YieldTermStructure > &termStructureSwapCurrency, const QuantLib::Handle< QuantLib::YieldTermStructure > &termStructureTradeCollateral, const QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > &, QuantLib::Real recoveryRate, QuantLib::Real accuracy=1.e-4, QuantLib::Size maxEvaluations=100, QuantLib::Volatility minVol=1.0e-7, QuantLib::Volatility maxVol=4.0) const

Instrument interface
bool	isExpired () const override
void	setupArguments (QuantLib::PricingEngine::arguments *args) const override
void	setupExpired () const override
void	fetchResults (const QuantLib::PricingEngine::results *results) const override

Detailed Description

Index CDS option instrument.

Definition at line 35 of file indexcdsoption.hpp.

Constructor & Destructor Documentation

IndexCdsOption()

IndexCdsOption	(	const QuantLib::ext::shared_ptr< IndexCreditDefaultSwap > &	swap,
		const QuantLib::ext::shared_ptr< QuantLib::Exercise > &	exercise,
		QuantLib::Real	strike,
		CdsOption::StrikeType	strikeType_ = CdsOption::Spread,
		Settlement::Type	settlementType = Settlement::Cash,
		QuantLib::Real	tradeDateNtl = QuantLib::Null<QuantLib::Real>(),
		QuantLib::Real	realisedFep = QuantLib::Null<QuantLib::Real>(),
		const QuantLib::Period &	indexTerm = 5 * Years
	)

Definition at line 68 of file indexcdsoption.cpp.

    : Option(QuantLib::ext::make_shared<NullPayoff>(), exercise), swap_(swap), strike_(strike), strikeType_(strikeType),
      settlementType_(settlementType), tradeDateNtl_(tradeDateNtl), realisedFep_(realisedFep),
      indexTerm_(indexTerm), riskyAnnuity_(0.0) {
    registerWith(swap_);
}

Member Function Documentation

isExpired()

bool isExpired ( ) const

override

Definition at line 78 of file indexcdsoption.cpp.

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

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setupArguments()

void setupArguments ( QuantLib::PricingEngine::arguments *  args ) const

override

Definition at line 85 of file indexcdsoption.cpp.

                                                                      {
    swap_->setupArguments(args);
    Option::setupArguments(args);
 
    IndexCdsOption::arguments* arguments = dynamic_cast<IndexCdsOption::arguments*>(args);
 
    QL_REQUIRE(arguments != 0, "wrong argument type");
 
    arguments->swap = swap_;
    arguments->strike = strike_;
    arguments->strikeType = strikeType_;
    arguments->settlementType = settlementType_;
    arguments->tradeDateNtl = tradeDateNtl_;
    arguments->realisedFep = realisedFep_;
    arguments->indexTerm = indexTerm_;
}

underlyingSwap()

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

(

)

const

Definition at line 57 of file indexcdsoption.hpp.

{ return swap_; }

atmRate()

Rate atmRate

(

)

const

Definition at line 109 of file indexcdsoption.cpp.

{ return swap_->fairSpreadClean(); }

riskyAnnuity()

Real riskyAnnuity

(

)

const

Definition at line 111 of file indexcdsoption.cpp.

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

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impliedVolatility()

Volatility impliedVolatility	(	QuantLib::Real	price,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	termStructureSwapCurrency,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	termStructureTradeCollateral,
		const QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > &	,
		QuantLib::Real	recoveryRate,
		QuantLib::Real	accuracy = 1.e-4,
		QuantLib::Size	maxEvaluations = 100,
		QuantLib::Volatility	minVol = 1.0e-7,
		QuantLib::Volatility	maxVol = 4.0
	)		const

Definition at line 117 of file indexcdsoption.cpp.

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

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setupExpired()

void setupExpired ( ) const

overrideprivate

Definition at line 80 of file indexcdsoption.cpp.

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

fetchResults()

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

overrideprivate

Definition at line 102 of file indexcdsoption.cpp.

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

Member Data Documentation

swap_

QuantLib::ext::shared_ptr<IndexCreditDefaultSwap> swap_

private

Definition at line 74 of file indexcdsoption.hpp.

strike_

QuantLib::Real strike_

private

Definition at line 75 of file indexcdsoption.hpp.

strikeType_

CdsOption::StrikeType strikeType_

private

Definition at line 76 of file indexcdsoption.hpp.

settlementType_

Settlement::Type settlementType_

private

Definition at line 77 of file indexcdsoption.hpp.

tradeDateNtl_

QuantLib::Real tradeDateNtl_

private

Definition at line 78 of file indexcdsoption.hpp.

realisedFep_

QuantLib::Real realisedFep_

private

Definition at line 79 of file indexcdsoption.hpp.

indexTerm_

QuantLib::Period indexTerm_

private

Definition at line 80 of file indexcdsoption.hpp.

riskyAnnuity_

QuantLib::Real riskyAnnuity_

mutableprivate

Definition at line 82 of file indexcdsoption.hpp.