CDS option. More...
#include <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 |
| Results from CDS-option calculation More... | |
Public Member Functions | |
| CdsOption (const ext::shared_ptr< CreditDefaultSwap > &swap, const ext::shared_ptr< Exercise > &exercise, bool knocksOut=true) | |
Instrument interface | |
| bool | isExpired () const override |
| returns whether the instrument might have value greater than zero. More... | |
| void | setupArguments (PricingEngine::arguments *) const override |
Inspectors | |
| const ext::shared_ptr< CreditDefaultSwap > & | underlyingSwap () const |
| Public Member Functions inherited from Option | |
| Option (ext::shared_ptr< Payoff > payoff, ext::shared_ptr< Exercise > exercise) | |
| void | setupArguments (PricingEngine::arguments *) const override |
| ext::shared_ptr< Payoff > | payoff () const |
| ext::shared_ptr< Exercise > | exercise () const |
| Public Member Functions inherited from Instrument | |
| Instrument () | |
| Real | NPV () const |
| returns the net present value of the instrument. More... | |
| Real | errorEstimate () const |
| returns the error estimate on the NPV when available. More... | |
| const Date & | valuationDate () const |
| returns the date the net present value refers to. More... | |
| template<typename T > | |
| T | result (const std::string &tag) const |
| returns any additional result returned by the pricing engine. More... | |
| const std::map< std::string, ext::any > & | additionalResults () const |
| returns all additional result returned by the pricing engine. More... | |
| void | setPricingEngine (const ext::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. More... | |
| Public Member Functions inherited from LazyObject | |
| LazyObject () | |
| ~LazyObject () override=default | |
| void | update () override |
| bool | isCalculated () const |
| void | forwardFirstNotificationOnly () |
| void | alwaysForwardNotifications () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| Public Member Functions inherited from Observable | |
| Observable () | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
| Public Member Functions inherited from Observer | |
| Observer ()=default | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| virtual | ~Observer () |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | update ()=0 |
| virtual void | deepUpdate () |
Calculations | |
| ext::shared_ptr< CreditDefaultSwap > | swap_ |
| bool | knocksOut_ |
| Real | riskyAnnuity_ |
| 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 |
| void | setupExpired () const override |
| void | fetchResults (const PricingEngine::results *) const override |
Additional Inherited Members | |
| Public Types inherited from Option | |
| enum | Type { Put = -1 , Call = 1 } |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from Instrument | |
| void | calculate () const override |
| void | performCalculations () const override |
| Protected Member Functions inherited from LazyObject | |
| Protected Attributes inherited from Option | |
| ext::shared_ptr< Payoff > | payoff_ |
| ext::shared_ptr< Exercise > | exercise_ |
| Protected Attributes inherited from Instrument | |
| Real | NPV_ |
| Real | errorEstimate_ |
| Date | valuationDate_ |
| std::map< std::string, ext::any > | additionalResults_ |
| ext::shared_ptr< PricingEngine > | engine_ |
| Protected Attributes inherited from LazyObject | |
| bool | calculated_ = false |
| bool | frozen_ = false |
| bool | alwaysForward_ |
| Related Functions inherited from Option | |
| std::ostream & | operator<< (std::ostream &, Option::Type) |
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 43 of file cdsoption.hpp.
Constructor & Destructor Documentation
◆ CdsOption()
| CdsOption | ( | const ext::shared_ptr< CreditDefaultSwap > & | swap, |
| const ext::shared_ptr< Exercise > & | exercise, | ||
| bool | knocksOut = true |
||
| ) |
Member Function Documentation
◆ isExpired()
|
overridevirtual |
returns whether the instrument might have value greater than zero.
Implements Instrument.
Definition at line 80 of file cdsoption.cpp.
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◆ setupArguments()
|
overridevirtual |
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 Instrument.
Definition at line 89 of file cdsoption.cpp.
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◆ underlyingSwap()
| const ext::shared_ptr< CreditDefaultSwap > & underlyingSwap | ( | ) | const |
Definition at line 59 of file cdsoption.hpp.
◆ atmRate()
| Rate atmRate | ( | ) | const |
Definition at line 110 of file cdsoption.cpp.
◆ riskyAnnuity()
| Real riskyAnnuity | ( | ) | const |
Definition at line 114 of file cdsoption.cpp.
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◆ impliedVolatility()
| Volatility impliedVolatility | ( | Real | price, |
| const Handle< YieldTermStructure > & | termStructure, | ||
| const Handle< DefaultProbabilityTermStructure > & | probability, | ||
| Real | recoveryRate, | ||
| Real | accuracy = 1.e-4, |
||
| Size | maxEvaluations = 100, |
||
| Volatility | minVol = 1.0e-7, |
||
| Volatility | maxVol = 4.0 |
||
| ) | const |
◆ setupExpired()
|
overrideprivatevirtual |
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.
Definition at line 84 of file cdsoption.cpp.
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◆ fetchResults()
|
overrideprivatevirtual |
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
Definition at line 101 of file cdsoption.cpp.
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Member Data Documentation
◆ swap_
|
private |
Definition at line 79 of file cdsoption.hpp.
◆ knocksOut_
|
private |
Definition at line 80 of file cdsoption.hpp.
◆ riskyAnnuity_
|
mutableprivate |
Definition at line 82 of file cdsoption.hpp.