Module credit_identity 

The credit-curve identity — what a CDS contract references and what the market keys a survival curve by (pure reference data).

A credit curve on a desk is identified by more than an entity’s name: a single name by the reference entity, its seniority, its documentation clause and the currency it is quoted in, an index by its family, series and version. One string could hold none of that, so an issuer’s senior and subordinated curves, its USD and EUR curves, and an index’s v1 and v2 after a credit event could not sit in one market side by side. Three types carry it, each where it comes from:

• ReferenceEntity is what a single-name contract references — entity, seniority, documentation clause. No currency: the contract already states its own.
• CreditIndexId is what an index contract references — family, series, version. The version is in the key because both versions trade after a credit event.
• CreditCurveId is what the market is keyed by: a reference entity in a currency, or an index.

No defaults

The identity fills nothing in. A market key is always fully spelled, so two curves cannot collide because each assumed a different tier. The standard tier and clause come from the contract template (CdsTemplate), which is where a convention belongs.

One spelling

ENTITY/SENIORITY/DOCCLAUSE/CCY for a name — ACME/SeniorUnSec/XR14/USD — and FAMILY.SERIESvVERSION for an index — CDX.NA.IG.45v1. Every role that wraps the identity keeps its own wrapping: credit(…), credit_vol(…), credit_quotes(…), recovery_floor(…). FromStr is the inverse of Display, tries the name form (exactly three separators) first, and refuses anything else naming both forms.

Structs

CreditIndexId

What an index contract references: the family, the series and the version — the version incremented by each credit event, and part of the identity because both versions trade for a time.

ReferenceEntity

What a single-name credit contract references: the entity, the seniority of the debt it protects and the documentation clause it trades under.

Enums

CreditCurveId

What the market keys a credit curve by: a reference entity in a currency, or an index. A single name and an index share no namespace.

CreditIdParseError

A spelling that names no credit curve.

DocClause

The ISDA 2014 documentation clause a single-name contract trades under — which restructuring events are credit events, spelled as the market spells them (XR14: no restructuring, the North American standard; MM14: modified-modified, the European standard; MR14: modified; CR14: full restructuring).

Functions

parse_index 🔒

FAMILY.SERIESvVERSION, or nothing where the spelling is not that shape.

parse_reference 🔒

The three parts of a reference entity’s spelling, each refused by its own vocabulary.