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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)
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