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CDS option

The side of the swaption is set by choosing the side of the CDS. A receiver CDS option is a right to buy an underlying CDS selling protection and receiving a coupon. A payer CDS option is a right to buy an underlying CDS buying protection and paying coupon.

Hierarchy

Implements

Index

Constructors

constructor

Properties

Protected _NPV

_NPV: Real

Protected _additionalResults

_additionalResults: Map<string, any> = new Map<string, any>()

_alwaysForward

_alwaysForward: boolean = false

_calculated

_calculated: boolean = false

_engine

_engine: PricingEngine

Protected _errorEstimate

_errorEstimate: Real

Protected _exercise

_exercise: Exercise

_frozen

_frozen: boolean = false

_isDisposed

_isDisposed: boolean = false

Private _knocksOut

_knocksOut: boolean

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _payoff

_payoff: Payoff

Private _riskyAnnuity

_riskyAnnuity: Real

Private _swap

Protected _valuationDate

_valuationDate: Date

dispose

dispose: () => void

Type declaration

    • (): void
    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void
    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

Methods

NPV

  • returns the net present value of the instrument.

    Returns Real

additionalResults

  • additionalResults(): Map<string, any>
  • returns all additional result returned by the pricing engine.

    Returns Map<string, any>

alwaysForwardNotifications

  • alwaysForwardNotifications(): void
  • This method causes the object to forward all notifications, even when not calculated. The default behavior is to forward the first notification received, and discard the others until recalculated; the rationale is that observers were already notified, and don't need further notification until they recalculate, at which point this object would be recalculated too. After recalculation, this object would again forward the first notification received.

    warning Forwarding all notifications will cause a performance hit, and should be used only when discarding notifications cause an incorrect behavior.

    Returns void

atmRate

  • Returns Rate

calculate

  • calculate(): void

deepUpdate

  • deepUpdate(): void

errorEstimate

  • errorEstimate(): Real
  • returns the error estimate on the NPV when available.

    Returns Real

exercise

fetchResults

freeze

  • freeze(): void
  • This method constrains the object to return the presently cached results on successive invocations, even if arguments upon which they depend should change.

    Returns void

impliedVolatility

init

isExpired

  • isExpired(): boolean
  • Returns boolean

oInit

payoff

performCalculations

  • performCalculations(): void

recalculate

  • recalculate(): void
  • This method force the recalculation of any results which would otherwise be cached. It is not declared as const since it needs to call the non-const notifyObservers method.

    note Explicit invocation of this method is not necessary if the object registered itself as observer with the structures on which such results depend. It is strongly advised to follow this policy when possible.

    Returns void

result

  • result(tag: string): any
  • returns any additional result returned by the pricing engine.

    Parameters

    • tag: string

    Returns any

riskyAnnuity

  • riskyAnnuity(): Rate
  • Returns Rate

setPricingEngine

  • set the pricing engine to be used.

    warning calling this method will have no effects in case the performCalculation method was overridden in a derived class.

    Parameters

    Returns void

setupArguments

setupExpired

  • setupExpired(): void

underlyingSwap

unfreeze

  • unfreeze(): void
  • This method reverts the effect of the freeze method, thus re-enabling recalculations.

    Returns void

update

  • update(): void

valuationDate

  • valuationDate(): Date
  • returns the date the net present value refers to.

    Returns Date