Enum CdsOptionStyle 

pub enum CdsOptionStyle {
    SingleName,
    FrontEndProtection,
    Index,
}

What a default before a CDS option’s expiry does to it, and the model that follows.

Variants

SingleName

A single-name option knocks out on a default before expiry: Black on the forward spread over the survival-weighted forward annuity.

FrontEndProtection

No knockout, the default settled as protection: Black as a single name, a payer carrying its front-end protection N·(1−R)·(1−Q(T))·P(T) on top and a receiver, by parity, the put alone.

Index

An index option (Pedersen, 2003): at expiry the payer enters the index at its fixed coupon c, pays the exercise price (K − c)·A(K) and receives the losses to expiry. The payoff per unit notional is max(Q(T)·(S − c)·A(S) + (1−R)·(1−Q(T)) − (K − c)·A(K), 0) over a lognormal spread S at expiry whose mean reprices today’s forward index value; A(s) is the risky annuity from expiry at spread s as the ISDA standard model converts a quote to an upfront: at the flat hazard whose protection is worth s times the premium, accrual on default integrated in proportion to the time accrued.

Implementations

impl CdsOptionStyle

pub const ACCEPTED: &'static [&'static str]

Every spelling this vocabulary accepts, canonical forms first.

Matching additionally ignores case and _/-/whitespace — see normalize in core::vocabulary.

pub fn code(self) -> &'static str

The canonical code for this variant; round-trips through FromStr.

Trait Implementations

impl Clone for CdsOptionStyle

fn clone(&self) -> CdsOptionStyle

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Copy for CdsOptionStyle

impl Debug for CdsOptionStyle

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Default for CdsOptionStyle

fn default() -> CdsOptionStyle

Returns the “default value” for a type.

impl Eq for CdsOptionStyle

impl FromStr for CdsOptionStyle

type Err = VocabularyParseError

The associated error which can be returned from parsing.

fn from_str(s: &str) -> Result<Self, Self::Err>

Parses a string s to return a value of this type.

impl PartialEq for CdsOptionStyle

fn eq(&self, other: &CdsOptionStyle) -> bool

Tests for self and other values to be equal, and is used by ==.

fn ne(&self, other: &Rhs) -> bool

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl StructuralPartialEq for CdsOptionStyle