1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2008 Roland Stamm
5 Copyright (C) 2009 Jose Aparicio
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file cdsoption.hpp
22 \brief CDS option
23*/
24
25#ifndef quantlib_cds_option_hpp
26#define quantlib_cds_option_hpp
27
28#include <ql/option.hpp>
29#include <ql/instruments/creditdefaultswap.hpp>
30
31namespace QuantLib {
32
33 class Quote;
34 class YieldTermStructure;
35
36 //! CDS option
37 /*! The side of the swaption is set by choosing the side of the CDS.
38 A receiver CDS option is a right to buy an underlying CDS
39 selling protection and receiving a coupon. A payer CDS option
40 is a right to buy an underlying CDS buying protection and
41 paying coupon.
42 */
43 class CdsOption : public Option {
44 public:
45 class arguments;
46 class results;
47 class engine;
48 CdsOption(const ext::shared_ptr<CreditDefaultSwap>& swap,
49 const ext::shared_ptr<Exercise>& exercise,
50 bool knocksOut = true);
51
52 //! \name Instrument interface
53 //@{
54 bool isExpired() const override;
55 void setupArguments(PricingEngine::arguments*) const override;
56 //@}
57 //! \name Inspectors
58 //@{
59 const ext::shared_ptr<CreditDefaultSwap>& underlyingSwap() const {
60 return swap_;
61 }
62 //@}
63 //! \name Calculations
64 //@{
65 Rate atmRate() const;
66 Real riskyAnnuity() const;
67 Volatility impliedVolatility(
68 Real price,
69 const Handle<YieldTermStructure>& termStructure,
70 const Handle<DefaultProbabilityTermStructure>&,
71 Real recoveryRate,
72 Real accuracy = 1.e-4,
73 Size maxEvaluations = 100,
74 Volatility minVol = 1.0e-7,
75 Volatility maxVol = 4.0) const;
76 //@}
77
78 private:
79 ext::shared_ptr<CreditDefaultSwap> swap_;
80 bool knocksOut_;
81
82 mutable Real riskyAnnuity_;
83 void setupExpired() const override;
84 void fetchResults(const PricingEngine::results*) const override;
85 };
86
87
88 //! %Arguments for CDS-option calculation
89 class CdsOption::arguments : public CreditDefaultSwap::arguments,
90 public Option::arguments {
91 public:
92 arguments() = default;
93
94 ext::shared_ptr<CreditDefaultSwap> swap;
95 bool knocksOut;
96 void validate() const override;
97 };
98
99 //! %Results from CDS-option calculation
100 class CdsOption::results : public Option::results {
101 public:
102 Real riskyAnnuity;
103 void reset() override;
104 };
105
106 //! base class for swaption engines
107 class CdsOption::engine
108 : public GenericEngine<CdsOption::arguments, CdsOption::results> {};
109
110}
111
112#endif
113

source code of quantlib/ql/experimental/credit/cdsoption.hpp