cds tranche

financepy.products.credit.cds_tranche

Types

DefaultLossDbnAlgoTypes

No description available.

Members

RECURSION = 1

ADJUSTED_BINOMIAL = 2

GAUSSIAN = 3

LHP = 4

Class

CDSTranche

CDSTranche(
    step_in_dt: Date,
    maturity_dt: Date,
    k1: float,
    k2: float,
    notional: float = 1000000,
    running_cpn: float = 0.0,
    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

No description available.

Methods

value_bc


value_bc(
    self,
    value_dt: Date,
    issuer_curves: list[financepy.market.curves.discount_curve.DiscountCurve],
    upfront,
    running_cpn: float,
    corr1,
    corr2,
    num_points: int = 50,
    algorithm: DefaultLossDbnAlgoTypes = <DefaultLossDbnAlgoTypes.RECURSION: 1>,
)

No description available.

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