Module credit 

Credit instruments.

Structs

CdoTranche

A synthetic CDO tranche [attach, detach] on an index pool, priced off the large-homogeneous-pool expected tranche loss under base correlation.

CdsDiagnostics

What a credit default swap resolved to when it was priced: each part of its value, signed as it enters that value, and the risky annuity behind its quote.

CreditDefaultSwap

A single-name credit default swap.

CreditDefaultSwapOption

A European option on a CDS: the right at expiry to enter underlying — the CDS it exercises into, its protection starting after expiry — as a payer (buying protection at the strike spread) or a receiver (selling it), held long or short.

CreditEvent

A credit event on one constituent of an index: the defaulted entity, its weight in the index (a share of the original notional, 1/125 for CDX IG), the recovery the ISDA auction fixed, and the event date.

CreditLinkedNote

A credit-linked note: the funded single-name credit product.

IndexCreditDefaultSwap

An index CDS (CDX / iTraxx): the homogeneous-pool product.

IndexSettlement

What a credit event settles on an index position, each amount signed to the holder: the protection on the defaulted weight, notional·w·(1 − R), received by a protection buyer; and the premium accrued on that weight over the running period to the event date, paid by the buyer.

NthToDefaultSwap

An nth-to-default basket swap: premium accrues while fewer than n constituents have defaulted; protection pays (1 − R̄)·N on the nth default. The trigger survival Q(t) = P(N(t) < n) comes from the one-factor Gaussian copula’s count distribution with each constituent’s default probability read off its own survival curve — the first product declaring a basket of entities.

TrancheSettlement

What a credit event settles on a tranche position, and where it leaves the tranche.

Enums

AccrualOnDefault

How premium accrued since the last coupon date is settled on default.

BasketCorrelation

Where a basket’s asset correlation comes from.

CdsOptionStyle

What a default before a CDS option’s expiry does to it, and the model that follows.

CdsStrikeType

How a CDS option’s strike is quoted.

CreditDefaultSwapOptionError

Why a CDS option could not be built.

CreditError

A credit trade that cannot be built as specified.

DefaultPaymentTime

When a payment contingent on a default is made, and so discounted from, on a credit-linked swap.

TrancheCopula

Where a tranche’s copula comes from.

TrancheMark

A tranche model input as a caller spells it: a number, the contract’s, or "Market", the market’s mark for the tranche’s index.

TrancheRecovery

Where a tranche’s recovery model comes from.

Constants

CASH_SETTLEMENT_BUSINESS_DAYS 🔒

Business days from trade to cash settlement of a standard contract’s upfront and accrual rebate (the post-2009 ISDA standard, T+3).

Functions

accrual_halfway_kernel

The halfway accrual-on-default kernel at unit coupon: (α/2) of the protection kernel, α the enclosing coupon’s accrual.

accrual_proportional_kernel

The proportional accrual-on-default kernel over one interval [a, b] of length delta years that starts lead years into the coupon’s accrual: ∫ₐᵇ (lead + (t − a)) · DF(t) · (−dS(t)) under a flat hazard h and a flat forward r on the interval, in closed form h·DF(a)·S(a)·[lead·(1 − e^{−kδ})/k + (1 − e^{−kδ}(1 + kδ))/k²] with k = r + h, by its series where kδ is small. Divided by the coupon’s whole accrual, it is the fraction of the coupon accrued to the default, weighted and discounted — what a contingent coupon settles under AccrualOnDefault::Proportional.

check_event 🔒

Refuses an event cds cannot carry at the remaining factor: a weight that is not positive or exceeds it, an auction recovery outside [0, 1], or an event date outside the protection.

check_recovery_floor 🔒

A recovery floor checked to [0, 1).

holder_sign 🔒

+1 for a protection buyer, −1 for a seller.

premium_leg

The standard premium leg on schedule at coupon: a fixed-rate leg whose final period accrues through its end date inclusive — ACT/360 with the last day added, the ISDA standard model’s lastPeriodDayCounter — so the last coupon pays one day more than the plain fraction, and which is paid on the maturity rolled to a business day on calendar under convention, as every earlier coupon is paid on its rolled accrual end: a Sunday maturity pays on the Monday.

protection_kernel

The ISDA protection kernel over one interval of a flat hazard h and flat forward r: h·DF(a)·S(a)·(1 − e^{−kΔ})/k, k = r + h, with the |kΔ| → 0 series Δ·(1 − kΔ/2 + k²Δ²/6).

running_accrual 🔒

The premium per unit notional the running period has accrued by date: the coupon c·τ(start, date) of the period whose accrual holds date, zero on a coupon date.