finpricing.instrument.cds

Module Contents

Classes

CDSFixedCouponLeg
CDSContingentLeg
CreditDefaultSwap

class finpricing.instrument.cds.CDSFixedCouponLeg(effective_date: finpricing.utils.Date | datetime.date, maturity_date: finpricing.utils.Date | datetime.date, spread: float, notional: float = Literal.UNIT.value, cds_style: finpricing.utils.CDSStyle = CDSStyle.CORP_NA(), pay_day_delay: int = 0)

Bases: finpricing.utils.ClassUtil, finpricing.instrument.fixed_coupon_leg.FixedCouponLegBase

class finpricing.instrument.cds.CDSContingentLeg(protection_start_date: finpricing.utils.Date | datetime.date, protection_end_date: finpricing.utils.Date | datetime.date, notional: float, fixed_recovery: bool, recovery_rate: float, pay_at_end: bool, payment_date: finpricing.utils.Date | datetime.date)

Bases: finpricing.utils.ClassUtil

classmethod make_simple(protection_start_date: finpricing.utils.Date | datetime.date, protection_end_date: finpricing.utils.Date | datetime.date, notional: float = Literal.UNIT.value)

class finpricing.instrument.cds.CreditDefaultSwap(fixed_coupon_leg: CDSFixedCouponLeg, contingent_leg: CDSContingentLeg)

classmethod make_standard(effective_date: finpricing.utils.Date | datetime.date, maturity_date: finpricing.utils.Date | datetime.date, spread: float, notional: float = Literal.UNIT.value, cds_style: finpricing.utils.CDSStyle | str = 'CORP_NA', pay_day_delay: int = 0)