CDSOption

High level graphic of CDSOption() function with parameters. Blue square node is the actual function with the parameters ordered.

1. CDSObject parameter
   
   
   Key to an already constructed Credit Default Swap object.
2. PayPremium parameter
   
   
   Right to pay the premium rate?
3. Volatility parameter
   
   
   Volatility of the option
4. Strike parameter
   
   
   This would be the premium coupon rate.
5. SettleDays parameter
   
   
   The number of days it takes to settle the option. The exercise date of the option will be computed from the start date of the Credit default swap minus the number of days it takes to settle.
6. dayCounter parameter
   
   
   DayCounter to use for the computation of year fractions.
7. Cal parameter
   
   
   Calendar required for the correct identification of the option exercise date.
8. BusDayConv parameter
   
   
   Business day convention for the correct identification of the option exercise date.
9. Greek parameter
   
   
   The greek of interest.

Double CTCreditDefaultSwaps.CDSOption( _
String CDSObject, _
Boolean PayPremium, _
Double Volatility, _
Double Strike, _
Long SettleDays, _
DayCountEnum dayCounter, _
String Cal, _
BDCEnum BusDayConv, _
String Greek)

=CT.CDS.Option(
Excel String Cell CDSObject,
Excel Boolean Value Cell PayPremium,
Excel Numeric Cell Volatility,
Excel Numeric Cell Strike,
Excel Numeric Cell SettleDays,
Excel String Cell dayCounter,
Excel String Cell Cal,
Excel String Cell BusDayConv,
Excel String Cell Greek)

static double CDSOption(
std::string CDSObject,
bool PayPremium,
double Volatility,
double Strike,
long SettleDays,
DayCountEnum dayCounter,
std::string Cal,
BDCEnum BusDayConv,
std::string Greek);

System.Double CTCreditDefaultSwapsSA.CDSOption(
System.String CDSObject,
System.Boolean PayPremium,
System.Double Volatility,
System.Double Strike,
System.Int32 SettleDays,
CTIEnums.DayCountEnum dayCounter,
System.String Cal,
CTIEnums.BDCEnum BusDayConv,
System.String Greek);

• CALTARGET() ( CT.QL.Curves20 )
• CALEURO() ( CT.QL.Curves20 )
• ValueDateObj() ( CT.QL.Utils20 )
• CALUKExchange() ( CT.QL.Curves20 )
• CreateDepoTemplate() ( CT.QL.Curves20 )
• CreateSwapTemplate() ( CT.QL.Curves20 )
• MKTYC_D() ( CT.QL.Curves20 )
• CreditCurveCDS() ( CT.QL.Curves20 )
• CDSwapObj() ( CT.QL.CreditDerivatives20 )
• CDSOption() ( CT.QL.CreditDerivatives20 )

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• Example Visual Basic 6 Driver function. Preparing the parameters and the final function call (the result).
• Example Excel VBA Driver function. Preparing the parameters and the final function call (the result).
• Example C++ Driver function. Preparing the parameters and the final function call (the result).
• Example Java Driver function. Preparing the parameters and the final function call (the result).