Module credit_linked 

A credit-linked swap: ordinary legs, each tagged with how it depends on one reference entity’s default, with legs in several currencies.

The product has no payoff of its own. It is a container: any compiled Leg can sit in any LegRole, and the role says what the leg’s payments are worth — paid whatever happens, paid only while the entity survives, or paid on its default scaled by the loss or the recovery. A funded credit-linked note is one contingent coupon leg and one recovery leg of face; a plain swap is two independent legs.

Every leg prices in its own currency, on the discount curve of its own collateral key and the entity’s credit curve in that currency, and the leg values convert into the trade currency at spot. Each leg is a linear expectation of the one default time, so valuing each under its own currency’s measure is consistent; the per-currency survival curves carry the market’s quanto information.

Structs

CreditLinkedSwap

A credit-linked swap: legs tagged by role against one reference entity.

CreditLinkedSwapDiagnostics

What a credit-linked swap’s value is made of, in the trade currency — five parts, signed as they enter the value.

RoleLeg

One leg of a credit-linked swap: the compiled leg, its role, and the collateral key it discounts on.

Enums

CreditLinkedSwapError

Why a credit-linked swap could not be built.

LegRole

How a leg of a credit-linked swap depends on the reference entity’s default.