1 files changed, 51 insertions, 0 deletions
diff --git a/python/analytics/singlename_cds.py b/python/analytics/singlename_cds.py
new file mode 100644
index 00000000..3c59f039
--- /dev/null
+++ b/python/analytics/singlename_cds.py
@@ -0,0 +1,51 @@
+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)