Cds Index Option

financepy.products.credit.cds_index_option

Classes

CDSIndexOption


CDSIndexOption(expiry_dt: financepy.utils.date.Date, maturity_dt: financepy.utils.date.Date, index_cpn: float, strike_cpn: float, notional: float = 1000000, long_protect: bool = True, freq_type: financepy.utils.frequency.FrequencyTypes = <FrequencyTypes.QUARTERLY: 4>, accrual_dc_type: financepy.utils.day_count.DayCountTypes = <DayCountTypes.ACT_360: 8>, cal_type: financepy.utils.calendar.CalendarTypes = <CalendarTypes.WEEKEND: 2>, bd_type: financepy.utils.calendar.BusDayAdjustTypes = <BusDayAdjustTypes.FOLLOWING: 2>, dg_type: financepy.utils.calendar.DateGenRuleTypes = <DateGenRuleTypes.BACKWARD: 2>)

Class to manage the pricing and risk management of an option to enter into a CDS index. Different pricing algorithms are presented.

Methods

value_adjusted_black


value_adjusted_black(self, value_dt, index_curve, index_recovery, libor_curve, sigma)

This approach uses two adjustments to black's option pricing model to value an option on a CDS index.

value_anderson


value_anderson(self, value_dt, issuer_curves, index_recovery, sigma)

This function values a CDS index option following approach by Anderson (2006). This ensures that a no-arbitrage relationship between the constituent CDS contract and the CDS index is enforced. It models the forward spread as a log-normally distributed quantity and uses the credit triangle to compute the forward RPV01.

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