quantlib.pricingengines.credit.isda_cds_engine.

IsdaCdsEngine

class IsdaCdsEngine(HandleDefaultProbabilityTermStructure ts, double recovery_rate, HandleYieldTermStructure discount_curve, include_settlement_date_flows=None, NumericalFix numerical_fix=NumericalFix.Taylor, AccrualBias accrual_bias=AccrualBias.HalfDayBias, ForwardsInCouponPeriod forwards_in_coupon_period=ForwardsInCouponPeriod.Piecewise)

Bases: PricingEngine

Attributes:

isda_credit_curve

isda_rate_curve