:py:mod:`finpricing.model.cds_pricer`
=====================================

.. py:module:: finpricing.model.cds_pricer


Module Contents
---------------

Classes
~~~~~~~

.. autoapisummary::

   finpricing.model.cds_pricer.CDSPricer




.. py:class:: CDSPricer(fixed_coupon_leg: finpricing.instrument.cds.CDSFixedCouponLeg, contingent_leg: finpricing.instrument.cds.CDSContingentLeg, discount_curve, survival_curve, recovery_rate, granularity: int = 14, include_accrued: bool = True)


   Bases: :py:obj:`finpricing.utils.ClassUtil`

   .. py:property:: cds_style


   .. py:property:: accrued_interest


   .. py:method:: from_cds(cds: finpricing.instrument.cds.CreditDefaultSwap, discount_curve, survival_curve, recovery_rate, granularity: int = 14, include_accrued: bool = True)
      :classmethod:


   .. py:method:: _generate_payment_dates_with_additional_date(coupon_leg: finpricing.instrument.cds.CDSFixedCouponLeg, include_spread: bool = False)

      generate customized fixed payments for a cds fixed coupon leg with additional day added to the accrual end date

      NOTE this is not a general purpose function, and should be considered as a workaround.            The last accrual period of a CDS has an additional day added to the accrual end date.

      :param coupon_leg: a CDSFixedCouponLeg object
      :param include_spread: if True, the coupon rate is included in the cashflow amount


   .. py:method:: generate_upfront_payment_date(calendar_type=None, date=None)

      three business days after the settlement date

      NOTE   according to the SNAC rule, the upfront payment is exchanged three business day after the trade settlement date


   .. py:method:: coupon_leg_accrued_interest(valuation_date: Union[datetime.date, finpricing.utils.Date] = None, accrued_style: finpricing.utils.CDSAccruedStyle = None, day_count_type: finpricing.utils.DayCountTypes = None)


   .. py:method:: pv_annuity(valuation_date: Union[datetime.date, finpricing.utils.Date] = None, survival_curve=None, discount_curve=None) -> float

      calculate the annuity PV of a CDS. This is the PV of the fixed coupon leg when coupon rate is 1.0

      NOTE
          The notional is included in the annuity calculation.
          The recovery rate seems to be not needed in this function, maybe because the CDS will pay the full notional

      :returns: Dirty price of coupon leg.


   .. py:method:: pv_coupon_leg(valuation_date: Union[datetime.date, finpricing.utils.Date] = None, discount_curve=None, survival_curve=None)


   .. py:method:: pv_contingent_leg_unit_notional(discount_curve, survival_curve, lgd_curve: finpricing.market.lgd_curve.LGDCurve, start_date: Union[datetime.date, finpricing.utils.Date], end_date: Union[datetime.date, finpricing.utils.Date], granularity: int, special_dates: List, is_first_period: bool)


   .. py:method:: pv_contingent_leg(valuation_date: Union[datetime.date, finpricing.utils.Date] = None, discount_curve=None, survival_curve=None, recovery_rate=None)


   .. py:method:: par_spread()


   .. py:method:: pv()