1 files changed, 31 insertions, 15 deletions
diff --git a/python/analytics/credit_default_swap.py b/python/analytics/credit_default_swap.py
index 5bddbf73..a2464f94 100644
--- a/python/analytics/credit_default_swap.py
+++ b/python/analytics/credit_default_swap.py
@@ -13,6 +13,7 @@ from pyisda.date import previous_twentieth
 from pyisda.legs import ContingentLeg, FeeLeg
 from termcolor import colored
 from .utils import build_table, get_fx
+from typing import Union
 from weakref import WeakSet
 from yieldcurve import get_curve, rate_helpers, YC, ql_to_jp
 
@@ -51,7 +52,13 @@ class CreditDefaultSwap:
     )
 
     def __init__(
-        self, start_date, end_date, recovery, fixed_rate, notional=10e6, issue_date=None
+        self,
+        start_date: datetime.date,
+        end_date: datetime.date,
+        recovery: float,
+        fixed_rate: float,
+        notional: float = 10e6,
+        issue_date: Union[datetime.date, None] = None,
     ):
         """
         start_date : :class:`datetime.date`
@@ -134,6 +141,15 @@ class CreditDefaultSwap:
     def spread(self):
         if self._spread is not None:
             return self._spread * 1e4
+        elif self._sc is not None:
+            return self._sc.par_spread(
+                self.value_date,
+                self._step_in_date,
+                self.start_date,
+                [self.end_date],
+                np.array([self.recovery]),
+                self._yc,
+            )
         else:
             return None
 
@@ -154,17 +170,18 @@ class CreditDefaultSwap:
             raise ValueError("Direction needs to be either 'Buyer' or 'Seller'")
 
     def _update(self):
-        self._sc = SpreadCurve(
-            self._yc.base_date,
-            self._yc,
-            self.start_date,
-            self._step_in_date,
-            self._cash_settle_date,
-            [self.end_date],
-            np.array([self._spread]),
-            np.zeros(1),
-            np.array([self.recovery]),
-        )
+        if self._spread is not None:
+            self._sc = SpreadCurve(
+                self._yc.base_date,
+                self._yc,
+                self.start_date,
+                self._step_in_date,
+                self._cash_settle_date,
+                [self.end_date],
+                np.array([self._spread]),
+                np.zeros(1),
+                np.array([self.recovery]),
+            )
 
         self._risky_annuity = self._fee_leg.pv(
             self.value_date,
@@ -189,7 +206,7 @@ class CreditDefaultSwap:
     @spread.setter
     def spread(self, s):
         """ s: spread in bps """
-        if self.spread is None or s != self.spread:
+        if self._spread is None or s != self.spread:
             self._spread = s * 1e-4
             self._update()
             self.notify()
@@ -361,8 +378,7 @@ class CreditDefaultSwap:
         self._step_in_date = d + datetime.timedelta(days=1)
         self._accrued = self._fee_leg.accrued(self._step_in_date)
         self._cash_settle_date = pd.Timestamp(self._value_date) + 3 * BDay()
-        if self._spread is not None:
-            self._update()
+        self._update()
         self.notify()
 
     def reset_pv(self):