cdsoptprice
Price payer and receiver credit default swap options
Syntax
Description
[
computes the price of payer and receiver credit default swap options.Payer
,Receiver
] = cdsoptprice(ZeroData
,ProbData
,Settle
,OptionMaturity
,CDSMaturity
,Strike
,SpreadVol
)
Note
Alternatively, you can use the CDSOption
object to price credit default swap options. For
more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
[
computes the price of payer and receiver credit default swap options with
additional options specified by one or more Payer
,Receiver
] = cdsoptprice(___,Name,Value
)Name,Value
pair
arguments.
Examples
Input Arguments
Output Arguments
More About
Algorithms
The payer and receiver credit default swap options are computed using the Black's model as described in O'Kane [1]:
where
RPV01 is the risky present value of a basis point (see cdsrpv01
).
Φ is the normal cumulative distribution function.
σ is the spread volatility.
t is the valuation date.
tE is the option expiry date.
T is the CDS maturity date.
F is the forward spread (from option expiry to CDS maturity).
K is the strike spread.
FEP is the front-end protection (from option initiation to option expiry).
References
[1] O'Kane, D. Modelling Single-name and Multi-name Credit Derivatives. Wiley, 2008, pp. 156–169.
Version History
Introduced in R2011a
See Also
cdsbootstrap
| cdsspread
| cdsprice
| cdsrpv01
| IRDataCurve
| CDSOption