cds

financepy.products.credit.cds

Class

CDS

CDS(
    step_in_dt: Date,
    maturity_dt_or_tenor: Date | str,
    running_cpn: float,
    notional: float = 1000000,
    long_protect: bool = True,
    freq_type: FrequencyTypes = <FrequencyTypes.QUARTERLY: 4>,
    accrual_dc_type: DayCountTypes = <DayCountTypes.ACT_360: 8>,
    cal_type: CalendarTypes | list | tuple = <CalendarTypes.WEEKEND: 2>,
    bd_type: BusDayAdjustTypes = <BusDayAdjustTypes.FOLLOWING: 2>,
    dg_type: DateGenRuleTypes = <DateGenRuleTypes.BACKWARD: 2>,
) -> None

A class which manages a Credit Default Swap. It performs schedule generation and the valuation and risk management of CDS.

Methods

value


value(
    self,
    value_dt: Date,
    issuer_curve: CDSCurve,
    recovery_rate: float,
    pv01_method: int = 0,
    prot_method: int = 0,
    num_steps_per_year: int = 25,
)

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

spread_dv01


spread_dv01(
    self,
    value_dt: Date,
    issuer_curve: CDSCurve,
    recovery_rate: float,
    pv01_method = 0,
    prot_method = 0,
    num_steps_per_year: int = 25,
)

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

ir_dv01


ir_dv01(
    self,
    value_dt: Date,
    issuer_curve: CDSCurve,
    recovery_rate: float,
    pv01_method: int = 0,
    prot_method: int = 0,
    num_steps_per_year: int = 25,
)

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

recovery_dv01


recovery_dv01(
    self,
    value_dt: Date,
    issuer_curve: CDSCurve,
    recovery_rate: float,
    pv01_method: int = 0,
    prot_method: int = 0,
    num_steps_per_year: int = 25,
)

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)

upfront


upfront(
    self,
    value_dt: Date,
    settle_dt: Date,
    issuer_curve: CDSCurve,
    recovery_rate: float,
    pv01_method = 0,
    prot_method = 0,
    num_steps_per_year: int = 25,
)

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

cash_settlement_amount


cash_settlement_amount(
    self,
    value_dt: Date,
    settle_dt: Date,
    issuer_curve: CDSCurve,
    recovery_rate: float,
    pv01_method = 0,
    prot_method = 0,
    num_steps_per_year: int = 25,
)

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

clean_price


clean_price(
    self,
    value_dt: Date,
    issuer_curve: CDSCurve,
    recovery_rate: float,
    pv01_method = 0,
    prot_method = 0,
    num_steps_per_year: int = 25,
)

Value of the CDS contract excluding accrued interest.

accrued_days


accrued_days(
    self,
    settle_dt: Date,
)

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

accrued_interest


accrued_interest(
    self,
    settle_dt: 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.

prot_leg_pv


prot_leg_pv(
    self,
    value_dt: Date,
    issuer_curve: CDSCurve,
    recovery_rate: float = 0.4,
    num_steps_per_year: int = 25,
    prot_method = 0,
)

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

get_pcd


get_pcd(
    self,
    value_dt: Date,
)

Get the previous coupon date before the value date

rpv01


rpv01(
    self,
    value_dt: Date,
    issuer_curve: CDSCurve,
    pv01_method = 0,
)

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

premium_leg_pv


premium_leg_pv(
    self,
    value_dt: Date,
    issuer_curve: CDSCurve,
    pv01_method = 0,
)

Value of the premium leg of a CDS.

par_spread


par_spread(
    self,
    value_dt: Date,
    issuer_curve: CDSCurve,
    recovery_rate: float = 0.4,
    num_steps_per_year: int = 25,
    pv01_method = 0,
    prot_method = 0,
)

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

value_fast_approx


value_fast_approx(
    self,
    value_dt: Date,
    flat_cont_interest_rate: float,
    flat_cds_curve_spread,
    curve_recovery: float = 0.4,
    recovery_rate: float = 0.4,
    bump_size: float = 0.0001,
    recovery_bump_size: float = 0.01,
)

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.

print_payments


print_payments(
    self,
    value_dt: Date,
    issuer_curve: CDSCurve,
)

We only print payments after the current valuation date

Generated automatically from the FinancePy source code. Do not edit this file manually.