CdsOption (3) Linux Manual Page
QuantLib::CdsOption – CDS option.
Synopsis
#include <ql/experimental/credit/cdsoption.hpp>Inherits QuantLib::Instrument.
Public Member Functions
CdsOption (const Date &expiry, Rate strike, const Handle< Quote > &volatility, const Issuer &issuer, Protection::Side side, Real nominal, const Schedule &premiumSchedule, const DayCounter &dayCounter, bool settlePremiumAccrual, const Handle< YieldTermStructure > &yieldTS)Real forward () const
Real riskyAnnuity () const
bool isExpired () const
returns whether the instrument is still tradable.
Detailed Description
CDS option. Warning
- the current implementation does not take premium accrual into account
Warning
- the current implementation quietly assumes that the expiry equals the start date of the underlying CDS
Possible enhancements
- take premium accrual into account
Possible enhancements
- allow expiry to be different from CDS start date