Index CDS option instrument. More...

#include <qle/instruments/indexcdsoption.hpp>

Inheritance diagram for IndexCdsOption:

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

Detailed Description

Index CDS option instrument.

Classes