quantlib.instruments.credit_default_swap.cds_maturity

cds_maturity(Date trade_date, Period tenor, DateGeneration rule)

Computes a CDS maturity date.

Parameters:

• trade_date (Date)

• tenor (Period)

• rule (DateGeneration)

Returns:

The maturity date. Returns None when a rule of CDS2015 and a tenor length of zero fail to yield a valid CDS maturity date.

Return type:

datetime.date

Raises:

ValueError –

• if the rule is not ‘CDS2015’, ‘CDS’ or ‘OldCDS’. - if the rule is ‘OldCDS’ and a tenor of 0 months is provided. This restriction can be removed if 0M tenor was available before the CDS Big Bang 2009. - if the tenor is not a multiple of 3 months. For the avoidance of doubt, a tenor of 0 months is supported.