Module credit 

Credit (CDS) templates — the credit group.

A CDS convention bundle as data. Standard CDS schedules historically ignore market holidays for accrual, so the calendar is WeekendsOnly; the coupon roll is the twentieth of the IMM cycle month (RollConvention::ImmTwentieth) and the schedule is CDS-generated (DateGenerationRule::Cds).

Structs

CdsTemplate

The conventions of a standard credit default swap.

CreditIndexTemplate

The conventions of a credit index family (CDX / iTraxx): the underlying homogeneous-pool CDS conventions plus the family’s standard coupon and standard recovery assumption. Booked through the index CDS builders, which take the family, the series and, for a CDO tranche, the attachment points; also constructible directly on the instruments.

Enums

CreditIndexFamily

The credit index families this crate carries a standard template for.

Statics

CREDIT

Registry rows for the credit group.

Functions

cds_standard

Standard CDS convention (post-2015): quarterly ACT/360 coupons on the weekend-only calendar, CDS-generated schedule, twentieth-IMM roll; the North American standard contract, senior unsecured under XR14.

cds_standard_europe

The European standard contract: cds_standard’s schedule conventions, senior unsecured under MM14 — what an iTraxx constituent trades under.

cdx_na_ig

CDX North America Investment Grade: USD, 100bp standard coupon, 40% standard recovery, standard CDS schedule conventions.

itraxx_europe

iTraxx Europe (Main): EUR, 100bp standard coupon, 40% standard recovery, standard CDS schedule conventions.

shift_months 🔒

date moved by months, its day kept — every date here is a 20th.