diff options
Diffstat (limited to 'python/analytics/singlename_cds.py')
| -rw-r--r-- | python/analytics/singlename_cds.py | 51 |
1 files changed, 0 insertions, 51 deletions
diff --git a/python/analytics/singlename_cds.py b/python/analytics/singlename_cds.py deleted file mode 100644 index 3c59f039..00000000 --- a/python/analytics/singlename_cds.py +++ /dev/null @@ -1,51 +0,0 @@ -from .credit_default_swap import CreditDefaultSwap -from .index_data import get_singlename_curve -from pyisda.date import previous_twentieth, roll_date -from .utils import tenor_to_float -from typing import Union -from yieldcurve import get_curve - -import datetime - - -class SingleNameCds(CreditDefaultSwap): - __slots__ = ("ticker", "seniority", "doc_clause", "tenor") - - def __init__( - self, - ticker: str, - seniority: str = "Senior", - doc_clause: str = "XR14", - tenor: str = "5yr", - *, - end_date: Union[datetime.date, None] = None, - recovery: float = 0.4, - fixed_rate: float = 100.0, - notional: float = 10e6, - currency: str = "USD", - value_date: datetime.date = datetime.date.today() - ): - - if end_date is None: - end_date = roll_date(value_date, tenor_to_float(tenor)) - - super().__init__( - previous_twentieth(value_date), end_date, recovery, fixed_rate, notional - ) - - self.ticker = ticker - self.seniority = seniority - self.doc_clause = doc_clause - self.tenor = tenor - self.currency = currency - self.value_date = value_date - - value_date = property(CreditDefaultSwap.value_date.__get__) - - @value_date.setter - def value_date(self, d: datetime.date): - self._yc = get_curve(d, self.currency) - self._sc = get_singlename_curve( - self.ticker, self.seniority, self.doc_clause, d, self._yc - ) - CreditDefaultSwap.value_date.__set__(self, d) |
