Cds Curve
financepy.market.curves.cds_curve
Classes
CDSCurve
CDSCurve(anchor_dt: financepy.utils.date.Date, cds_contracts: list, libor_curve: financepy.market.curves.discount_curve.DiscountCurve, recovery_rate: float, dc_type: financepy.utils.day_count.DayCountTypes = <DayCountTypes.ACT_365F: 7>, interp_method: financepy.market.curves.interpolator.InterpTypes = <InterpTypes.FLAT_FWD_RATES: 1>) -> None
Generate a survival probability curve implied by the value of CDS
contracts given a Ibor curve and an assumed recovery rate. The recovery
rate corresponds to the seniority of the debt for these CDS. A scheme for
the interpolation of the survival probabilities is also required.
Methods
set_times
set_times(self, times: <built-in function array>)
Set the times vector
set_qs
set_qs(self, qvector: <built-in function array>)
Set the survival probability curve
set_q
set_q(self, index, q)
Set the survival probability at a specific index.
set_last_q
set_last_q(self, q)
Set the survival probability factor at last index.
survival_prob
survival_prob(self, dt)
Extract the survival probability to date dt. This function
supports vectorisation.
df
df(self, dt)
Extract the discount factor from the underlying Ibor curve. This
function supports vectorisation.
build_curve
build_curve(self)
Construct the CDS survival curve from a set of CDS contracts
fwd
fwd(self, fwd_dt: financepy.utils.date.Date)
Calculate the instantaneous forward rate at date fwd_dt
using a numerical derivative.
zero_rate
zero_rate(self, dt, freq_type=<FrequencyTypes.CONTINUOUS: 99>)
Calculate the zero rate to date dt in the chosen compounding
frequency where -1 is continuous is the default.
Functions
f
f(q, *args)
Function that returns zero when the survival probability that gives a
zero value of the CDS has been determined.
Generated automatically from the FinancePy source code.
Do not edit this file manually.