Valuation of a CDS contract on a specific valuation date given an issuer curve and a contract recovery rate.

Calculation of the change in the value of the CDS contract for a one basis point change in the level of the CDS curve.

Calculation of the interest DV01 based on a simple bump of the discount factors and reconstruction of the CDS curve.

PV change when contract and curve recovery both increase by 1%. The market CDS calibration quotes and discount curve are held fixed. Returns: PV(curve recovery + 0.01, contract recovery + 0.01) - PV(curve recovery, contract recovery)

Return clean percentage PV expressed on T+3 settlement date.

Return dirty amount paid on the T+3 settlement date.

Value of the CDS contract excluding accrued interest.

Number of days between the previous coupon and the currrent step in date.

Calculate the amount of accrued interest that has accrued from the previous cpn date (PCD) to the step_in_dt of the CDS contract.

Calculates the protection leg PV of the CDS by calling into the fast NUMBA code that has been defined above.

Get the previous coupon date before the value date

The risky_pv01 is the present value of a risky one dollar paid on the premium leg of a CDS contract.

Value of the premium leg of a CDS.

Breakeven CDS cpn that would make the value of the CDS contract equal to zero.

Fast approximate CDS valuation using flat hazard and discount curves. The hazard rate is implied from the flat CDS spread via the credit triangle ``h = spread / (1 - curve_recovery)`` and both survival and discounting are treated as flat exponentials. The premium leg ignores the actual coupon schedule; accrual-on-default is captured only heuristically through the 365/360 clean-RPV01 adjustment. All PVs are in currency units of the contract notional. Args: value_dt: Valuation date (a ``Date``). Scalar only. flat_cont_interest_rate: Flat continuously compounded discount rate. Scalar or array-like. flat_cds_curve_spread: Flat CDS par spread (decimal, e.g. 0.01 for 100 bp). Must be non-negative. Scalar or array-like. curve_recovery: Recovery rate used to imply the hazard rate from the spread. Must lie in ``[0, 1)``. Scalar or array-like. contract_recovery_rate: Contractual recovery rate used on the protection leg. Must lie in ``[0, 1]``. Scalar or array-like. bump_size: Absolute bump applied to the spread and to the interest rate for the finite-difference sensitivities. Scalar or array-like, strictly positive. recovery_bump_size: Absolute bump applied to the contractual recovery rate for the recovery sensitivity. Scalar or array-like, strictly positive. Returns: A tuple ``(full_pv, clean_pv, spread_dv01, ir_dv01, recovery01)``: full_pv: Clean PV plus accrued interest. clean_pv: PV excluding accrued interest. credit01: PV change for a 1 bp increase in the CDS spread. ir01: PV change for a 1 bp increase in the interest rate. recovery01: PV change for a 1 percentage-point increase in the contractual recovery. Elements are floats if every input was scalar, otherwise ndarrays with the broadcast shape of the inputs. The sensitivities are one-sided (upward) finite differences, rescaled to the stated units whatever bump sizes are supplied. Recovery01 bumps the recovery assumption everywhere it enters: the hazard rate is re-implied from the unchanged quoted spread under the bumped curve recovery, and the contractual loss uses the bumped contract recovery. It is therefore small and vanishes for an at-market contract. Raises: FinError: If any input is invalid, the inputs cannot be broadcast together, or the contract has matured.

We only print payments after the current valuation date