riskyAnnuity (3) - Linux Man Pages
riskyAnnuity: CDS option.
QuantLib::CdsOption - CDS option.
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.
- 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
- take premium accrual into account
- allow expiry to be different from CDS start date
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