cds curve

financepy.market.curves.cds_curve

Class

CDSCurve

CDSCurve(
    anchor_dt: Date,
    cds_contracts: list,
    libor_curve: DiscountCurve,
    recovery_rate: float,
    dc_type: DayCountTypes = <DayCountTypes.ACT_365F: 7>,
    interp_method: 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: 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.