Struct CreditDefaultSwapOption 

pub struct CreditDefaultSwapOption {
    pub underlying: CreditDefaultSwap,
    pub expiry: NaiveDate,
    pub strike: f64,
    pub kind: SwaptionKind,
    pub short: bool,
    pub style: CdsOptionStyle,
    pub strike_type: CdsStrikeType,
}

A European option on a CDS: the right at expiry to enter underlying — the CDS it exercises into, its protection starting after expiry — as a payer (buying protection at the strike spread) or a receiver (selling it), held long or short.

Priced at the vol the market’s credit vol surface for the underlying’s name quotes at expiry, under one of three CdsOptionStyles.

Fields

underlying: CreditDefaultSwap

The CDS the option exercises into.

expiry: NaiveDate

The exercise date.

strike: f64

The strike spread, as a decimal.

kind: SwaptionKind

A payer (the right to buy protection) or a receiver.

short: bool

The seller’s side: the holder’s value negated.

style: CdsOptionStyle

What a default before expiry does, and how the option is priced.

strike_type: CdsStrikeType

How strike is quoted: a spread, or the price the holder enters at.

Implementations

impl CreditDefaultSwapOption

pub fn new( underlying: CreditDefaultSwap, expiry: NaiveDate, strike: f64, kind: SwaptionKind, short: bool, style: CdsOptionStyle, ) -> Result<Self, CreditDefaultSwapOptionError>

An option at expiry on underlying struck at strike.

Errors

CreditDefaultSwapOptionError for an underlying whose protection does not start after the expiry, or a strike that is not finite and positive.

pub fn with_price_strike(self) -> Result<Self, CreditDefaultSwapOptionError>

Read strike as a price per unit notional.

Errors

CreditDefaultSwapOptionError::PriceStrikeNeedsIndex off the index style.

impl CreditDefaultSwapOption

fn at_expiry<R: Scalar>( &self, view: &PricingView<'_, R>, ) -> Result<(R, R, R), PricingError>

The recovery, the survival probability to expiry and the discount factor to it: what a default before expiry is settled on.

fn index_value<R: Scalar>( &self, view: &PricingView<'_, R>, legs: &CdsLegs<R>, vol: R, t: f64, ) -> Result<R, PricingError>

The index model; see CdsOptionStyle::Index.

The spread’s mean is solved passively by Newton and then taken one Newton step in the mode from the solution, which carries the implicit function’s first derivatives exactly; the exercise boundary is passive, the payoff being zero on it.

Trait Implementations

impl Clone for CreditDefaultSwapOption

fn clone(&self) -> CreditDefaultSwapOption

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for CreditDefaultSwapOption

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

Formats the value using the given formatter.

impl PartialEq for CreditDefaultSwapOption

fn eq(&self, other: &CreditDefaultSwapOption) -> 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<R: Scalar> Priceable<R> for CreditDefaultSwapOption

fn npv(&self, view: &PricingView<'_, R>) -> Result<R, PricingError>

By style: Black on the underlying’s forward spread F over its forward risky annuity A, both survival-weighted from today, at the name’s credit vol for the expiry — a payer adding its front-end protection where the option does not knock out — or the index model. Nothing once expired: exercise was decided then.

fn par_rate(&self, _view: &PricingView<'_, R>) -> Result<R, PricingError>

The par rate — the fixed rate at which the product is worth nothing.

fn par_spread(&self, _view: &PricingView<'_, R>) -> Result<R, PricingError>

The par (breakeven) floating-leg spread. Zero for a product with no floating leg.

impl PricingRiskFactors for CreditDefaultSwapOption

fn risk_factors(&self) -> Result<RiskFactors<'_>, PricingError>

The market data this product is priced against.

impl Product for CreditDefaultSwapOption

fn currency(&self) -> Currency

The currency the product pays in. An FX product values in its quote currency; a book converts.

fn contract_dates(&self) -> Vec<(&'static str, NaiveDate)>

The contract dates the product resolved to, as (name, date) pairs — exactly the dates its stated constructor takes, so a product built through a derived form can be read back and rebuilt through the stated one. Empty for a product with no stated form. No default: every product states which it is — see AnyInstrument::contract_dates.

fn legs(&self) -> Option<Vec<&Leg>>

The legs the product itself holds, in a declared order, or None for a product that holds none — see AnyInstrument::legs. No default: every product states which it is.

fn final_payment_date(&self) -> Option<NaiveDate>

The date of the product’s final payment, where a calibration rung can be built on it; None for a product no ladder is built from.

fn restruck_at_rate(&self, _rate: f64) -> Option<AnyInstrument>

This product re-struck at the par rate rate — the scalar a par calibration rung on it is quoted in — or None for a product that carries no such scalar. What a quote scenario moves a rung to.

fn restruck_at_spread(&self, _spread: f64) -> Option<AnyInstrument>

This product re-struck at the basis spread spread on its spread leg, or None for a product that quotes none.

impl StructuralPartialEq for CreditDefaultSwapOption