cds option

financepy.products.credit.cds_option

Class

CDSOption

CDSOption(
    expiry_dt: Date,
    maturity_dt: Date,
    strike_cpn: float,
    notional: float = 1000000,
    long_protection: bool = True,
    knockout_flag: 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

Class to manage the pricing and risk-management of an option on a single-name CDS. This is a contract in which the option buyer pays for an option to either buy or sell protection on the underlying CDS at a fixed spread agreed today and to be exercised in the future on a specified expiry date. The option may or may not cancel if there is a credit event before option expiry. This needs to be specified.

Methods

value


value(
    self,
    value_dt: Date,
    issuer_curve: DiscountCurve,
    volatility: float,
)

Value the CDS option using Black's model with an adjustment for any Front End Protection. TODO - Should the CDS be created in the init method ?

implied_volatility


implied_volatility(
    self,
    value_dt: Date,
    issuer_curve: DiscountCurve,
    option_value,
)

Calculate the implied CDS option volatility from a price.

Functions

fvol


fvol(
    volatility: float,
    *args,
)

Root searching function in the calculation of the CDS implied volatility.

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