Module credit 

Credit products: a creditDefaultSwap on one reference entity or on an index, and a creditDefaultSwapOption on one.

A single-name contract values on the credit identity it references: entity, seniority, documentation clause and currency. The caller’s CreditReferences gives it by the entity’s stated identifier or name. Without an entry, only a contract under the 2014 Credit Derivatives Definitions on a standard matrix transaction type is read, senior unsecured on that type’s clause; any other is refused, since valuing a contract on the curve of another clause would price different terms.

The contract is built on the standard CDS conventions and its stated dates; a premium schedule those conventions do not generate (a frequency other than quarterly, a roll other than the 20th, a first payment off the generated one) is refused by name. An initial payment is a fee on its stated date.

Structs

CreditReferences

The credit identities a caller states for the reference entities its trades name, keyed by the entity’s entityId or entityName.

Terms 🔒

The terms every contract states: protection dates, buyer, notional, coupon.

Functions

contract 🔒

A creditDefaultSwap as the contract it is, with its initial payment.

identity 🔒

The identity a single-name contract references.

index_family 🔒

The index family a CDS index name states: CDX North America Investment Grade or iTraxx Europe main; sector and sub-indices are refused.

initial_payment 🔒

A CDS initialPayment as a dated amount on our side: on its stated date, else on the contract’s standard cash-settlement date.

read_cds 🔒

Reads a creditDefaultSwap: the contract, its initial payment a fee.

read_option 🔒

Reads a creditDefaultSwapOption: an option on its contract, its premium a fee.

terms 🔒

unsupported 🔒