Cds Option
financepy.products.credit.cds_option
Classes
CDSOption
CDSOption(expiry_dt: financepy.utils.date.Date, maturity_dt: financepy.utils.date.Date, strike_cpn: float, notional: float = 1000000, long_protection: bool = True, knockout_flag: 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 | list | tuple = <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 on a
single-name CDS. This is a contract in which the option buyer pays for an
option to either buy or sell protection on the underlying CDS at a fixed
spread agreed today and to be exercised in the future on a specified expiry
date. The option may or may not cancel if there is a credit event before
option expiry. This needs to be specified.
Methods
value
value(self, value_dt, issuer_curve, volatility)
Value the CDS option using Black's model with an adjustment for any
Front End Protection.
TODO - Should the CDS be created in the init method ?
implied_volatility
implied_volatility(self, value_dt, issuer_curve, option_value)
Calculate the implied CDS option volatility from a price.
Functions
fvol
fvol(volatility, *args)
Root searching function in the calculation of the CDS implied
volatility.
Generated automatically from the FinancePy source code.
Do not edit this file manually.