Function cds_option 

pub fn cds_option(
    underlying: &CreditDefaultSwap,
    expiry: NaiveDate,
    strike: f64,
    vol: f64,
    kind: SwaptionKind,
    short: bool,
    market: &MarketContext,
) -> Result<CdsOptionValue, PricingError>

A single-name CDS option under Black’s model on the forward spread: the right at expiry to enter underlying — the CDS the option exercises into, its protection starting after expiry — a payer (the right to pay the strike spread, buying protection) or a receiver (the right to receive it). short is the seller’s side: the same option, its value negated.

V = A(0)·Black(F, K, σ, T), F = protection/annuity of the underlying valued today on its entity’s curve and A(0) its risky annuity. The annuity is survival-weighted from today, so a default before expiry leaves the option worthless — the standard single-name knockout. T is ACT/365F from the valuation date to expiry. Index options (front-end protection, no knockout, exercise-price adjustment) are not this.

Errors

PricingError::Curve for an expiry on or before the valuation date, an underlying whose protection starts on or before expiry, or a strike or vol that is not positive; the resolution’s and the pricer’s errors otherwise.