Cds Tranche
financepy.products.credit.cds_tranche
Classes
CDSTranche
CDSTranche(step_in_dt: financepy.utils.date.Date, maturity_dt: financepy.utils.date.Date, k1: float, k2: float, notional: float = 1000000, running_cpn: float = 0.0, long_protect: bool = True, freq_type: financepy.utils.frequency.FrequencyTypes = <FrequencyTypes.QUARTERLY: 4>, accrual_dc_type: financepy.utils.day_count.DayCountTypes = <DayCountTypes.ACT_360: 8>, cal_type: financepy.utils.calendar.CalendarTypes | list | tuple = <CalendarTypes.WEEKEND: 2>, bd_type: financepy.utils.calendar.BusDayAdjustTypes = <BusDayAdjustTypes.FOLLOWING: 2>, dg_type: financepy.utils.calendar.DateGenRuleTypes = <DateGenRuleTypes.BACKWARD: 2>)
No description available.
Methods
value_bc
value_bc(self, value_dt, issuer_curves, upfront, running_cpn, corr1, corr2, num_points=50, model=<DefaultLossDbnAlgoTypes.RECURSION: 1>)
No description available.
DefaultLossDbnAlgoTypes
DefaultLossDbnAlgoTypes(*values)
Inherits from: Enum
Create a collection of name/value pairs.
Example enumeration:
>>> class Color(Enum):
... RED = 1
... BLUE = 2
... GREEN = 3
Access them by:
- attribute access:
>>> Color.RED
<Color.RED: 1>
- value lookup:
>>> Color(1)
<Color.RED: 1>
- name lookup:
>>> Color['RED']
<Color.RED: 1>
Enumerations can be iterated over, and know how many members they have:
>>> len(Color)
3
>>> list(Color)
[<Color.RED: 1>, <Color.BLUE: 2>, <Color.GREEN: 3>]
Methods can be added to enumerations, and members can have their own
attributes -- see the documentation for details.
Generated automatically from the FinancePy source code.
Do not edit this file manually.