riskyAnnuity (3) - Linux Manuals

riskyAnnuity: CDS option.


QuantLib::CdsOption - CDS option.


#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.


the current implementation does not take premium accrual into account


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


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