quantlib.instruments.credit_default_swap.CreditDefaultSwap

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

Bases: Instrument

Credit default swap as running-spread only

Parameters:

  • side (int or {BUYER, SELLER}) – Whether the protection is bought or sold.

  • notional (float) – Notional value

  • spread (float) – Running spread in fractional units.

  • schedule (Schedule) – Coupon schedule.

  • payment_convention (int) – Business-day convention for payment-date adjustment.

  • day_counter (DayCounter) – Day-count convention for accrual.

  • settles_accrual (bool, optional) – Whether or not the accrued coupon is due in the event of a default.

  • pays_at_default_time (bool, 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_start (Date, optional) – The first date where a default event will trigger the contract.

  • last_period_day_counter (DayCounter, optional) – Day-count convention for accrual in last period

  • rebates_accrual (bool, 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_date (Date) – 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_days (int) – The number of business days from trade_date to cash settlement date.

Notes

This instrument currently assumes that the issuer did not default until today’s date.

Warning

if Settings.include_reference_date_cashflows is set to True, payments occurring at the settlement date of the swap might be included in the NPV and therefore affect the fair-spread calculation. This might not be what you want.

__init__()

Credit default swap as running-spread only

Methods

__init__

Credit default swap as running-spread only

conventional_spread(self, Real recovery, ...)

from_upfront(cls, Protection side, ...)

Credit default swap quoted as upfront and running spread

implied_hazard_rate(self, Real target_npv, ...)

set_pricing_engine(self, PricingEngine engine)

Sets the pricing engine.

Attributes

accrual

accrual_rebate_npv

cash_settlement_days

coupon_leg_bps

coupon_leg_npv

coupons

default_leg_npv

fair_spread

Returns the running spread that, given the quoted recovery rate, will make the running-only CDS have an NPV of 0.

fair_upfront

Returns the upfront spread that, given the running spread and the quoted recovery rate, will make the instrument have an NPV of 0.

is_expired

net_present_value

Instrument net present value.

notional

npv

Shortcut to the net_present_value property.

pays_at_default_time

protection_end_date

protection_start_date

rebates_accrual

running_spread

settles_accrual

side

trade_date

upfront

upfront_bps

upfront_npv

valuation_date

conventional_spread(self, Real recovery, YieldTermStructure yts, DayCounter dc=Actual365Fixed(), PricingModel model=PricingModel.Midpoint)
fair_spread

Returns the running spread that, given the quoted recovery rate, will make the running-only CDS have an NPV of 0.

Notes

This calculation does not take any upfront into account, even if one was given.

fair_upfront

Returns the upfront spread that, given the running spread and the quoted recovery rate, will make the instrument have an NPV of 0.

classmethod 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:

  • side (int or {BUYER, SELLER}) – Whether the protection is bought or sold.

  • notional (float) – Notional value

  • upront (float) – Upfront payment in fractional units.

  • spread (float) – Running spread in fractional units.

  • schedule (Schedule) – Coupon schedule.

  • payment_convention (int) – Business-day convention for payment-date adjustment.

  • day_counter (DayCounter) – Day-count convention for accrual.

  • settles_accrual (bool, optional) – Whether or not the accrued coupon is due in the event of a default.

  • pays_at_default_time (bool, 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_start (Date, optional) – The first date where a default event will trigger the contract.

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

  • last_period_day_counter (DayCounter, optional) – Day-count convention for accrual in last period

  • rebates_accrual (bool, 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_date (Date) – 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_days (int) – The number of business days from trade_date to cash settlement date.

implied_hazard_rate(self, Real target_npv, YieldTermStructure yts, DayCounter dc=Actual365Fixed(), Real recovery_rate=0.4, Real accuracy=1e-8, PricingModel model=PricingModel.Midpoint)