cds fixed recovery

financepy.products.credit.cds_fixed_recovery

Class

CDSFixedRecovery

CDSFixedRecovery(
    step_in_dt: Date,
    maturity_dt_or_tenor: Date | str,
    running_cpn: float,
    fixed_recovery: 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>,
)

Inherits from: CDS

Fixed-recovery credit default swap.

Methods

prot_leg_pv


prot_leg_pv(
    self,
    value_dt: Date,
    issuer_curve: CDSCurve,
    recovery_rate: float = None,
    num_steps_per_year: int = 25,
    prot_method = 0,
)

No description available.

value


value(
    self,
    value_dt: Date,
    issuer_curve: CDSCurve,
    recovery_rate: float = None,
    pv01_method = 0,
    prot_method = 0,
    num_steps_per_year: int = 25,
)

No description available.

recovery_dv01


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

PV change for a 1% increase in the issuer curve recovery assumption. The contractual fixed recovery, market CDS quotes, and discount curve are held unchanged. Returns: PV(curve recovery + 0.01, fixed recovery) - PV(curve recovery, fixed recovery)

value_fast_approx


value_fast_approx(
    self,
    value_dt: Date,
    flat_cont_interest_rate: float,
    flat_cds_curve_spread,
    curve_recovery: 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.

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