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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)
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