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Diffstat (limited to 'python/test_upfront_cds.py')
| -rw-r--r-- | python/test_upfront_cds.py | 18 |
1 files changed, 18 insertions, 0 deletions
diff --git a/python/test_upfront_cds.py b/python/test_upfront_cds.py new file mode 100644 index 00000000..1575d7fc --- /dev/null +++ b/python/test_upfront_cds.py @@ -0,0 +1,18 @@ +from quantlib.time.api import (calendar_from_name, May, + Period, Date, Actual365Fixed, + Actual360, Quarterly, Following) +from quantlib.time.schedule import CDS +from quantlib.settings import Settings +from quantlib.termstructures.credit.api import UpfrontCdsHelper +from yieldcurve import YC +calendar = calendar_from_name('WO') + +todays_date = Date(26, May, 2016) +ts = YC() + +Settings.instance().evaluation_date = todays_date +recovery_rate = 0.4 +running_spread = 0.05 +tenor = Period("5Y") +cds = UpfrontCdsHelper(0.01, running_spread, tenor, 0, calendar, Quarterly, Following, + CDS, Actual360(), recovery_rate, ts) |