quantlib.instruments.credit_default_swap.CreditDefaultSwap.from_upfront

classmethod CreditDefaultSwap.from_upfront(cls, Protection side, double notional, double upfront, double spread, Schedule schedule, BusinessDayConvention payment_convention, DayCounter day_counter, bool settles_accrual=True, bool pays_at_default_time=True, Date protection_start=Date(), Date upfront_date=Date(), DayCounter last_period_day_counter=Actual360(True), bool rebates_accrual=True, Date trade_date=Date(), Natural cash_settlement_days=3)

Credit default swap quoted as upfront and running spread

Parameters:

sideint or {BUYER, SELLER}

Whether the protection is bought or sold.

notionalfloat

Notional value

uprontfloat

Upfront payment in fractional units.

spreadfloat

Running spread in fractional units.

scheduleSchedule

Coupon schedule.

payment_conventionint

Business-day convention for payment-date adjustment.

day_counterDayCounter

Day-count convention for accrual.

settles_accrualbool, optional

Whether or not the accrued coupon is due in the event of a default.

pays_at_default_timebool, optional

If set to True, any payments triggered by a default event are due at default time. If set to False, they are due at the end of the accrual period.

protection_startDate, optional

The first date where a default event will trigger the contract.

upfront_dateDate, optional

Settlement date for the upfront and accrual rebate (if any) payments. Typically T+3, this is also the default value.

last_period_day_counterDayCounter, optional

Day-count convention for accrual in last period

rebates_accrualbool, optional

The protection seller pays the accrued scheduled current coupon at the start of the contract. The rebate date is not provided but computed to be two days after protection start.

trade_dateDate

The contract’s trade date. It will be used with the cash_settlement_days to determine the date on which the cash settlement amount is paid. If not given, the trade date is guessed from the protection start date and schedule date generation rule.

cash_settlement_daysint

The number of business days from trade_date to cash settlement date.