cds#

swordfish.function.cds()#

Value a Credit Default Swap (CDS) contract.

Parameters:

  • settlement (Constant) – A DATE scalar or vector indicating the settlement date.

  • maturity (Constant) – A DATE scalar or vector indicating the maturity date.

  • evalDate (Constant) – A DATE scalar or vector indicating the evaluation date of the CDS contract. Note that evalDate should be no later than settlement.

  • notional (Constant) – A non-negative numeric scalar or vector indicating the notional principal of the CDS contract.

  • spread (Constant) – A numeric scalar or vector indicating the CDS spread.

  • riskFree (Constant) – A numeric scalar or vector indicating the risk-free interest rate.

  • recovery (Constant) – A numeric scalar or vector in [0,1), indicating the recovery rate.

  • isSeller (Constant) – A BOOLEAN scalar or vector indicating whether the party is the buyer or the seller.

  • frequency (Constant) –

    An INT scalar/vector indicating the number of payments, or a STRING scalar/vector indicating payment frequency. It can be:

    • 0/”Once”: Bullet payment at maturity.

    • 1/”Annual”: Annual payments.

    • 2/”Semiannual”: Semi-annual payments.

    • 4/”Quarterly”: Quarterly payments.

    • 12/”Monthly”: Monthly payments.

  • calendar (Constant) – A STRING scalar or vector indicating the trading calendar(s).

  • convention (Constant, optional) –

    A STRING scalar or vector indicating how cash flows that fall on a non-trading day are treated. The following options are available. Defaults to ‘Following’.

    • ’Following’: The following trading day.

    • ’ModifiedFollowing’: The following trading day. If that day is in a different month, the preceding trading day is adopted instead.

    • ’Preceding’: The preceding trading day.

    • ’ModifiedPreceding’: The preceding trading day. If that day is in a different month, the following trading day is adopted instead.

    • ’Unadjusted’: Unadjusted.

    • ’HalfMonthModifiedFollowing’: The following trading day. If that day crosses the mid-month (15th) or the end of month, the preceding trading day is adopted instead.

    • ’Nearest’: The nearest trading day. If both the preceding and following trading days are equally far away, default to following trading day.

  • termDateConvention (Constant, optional) – A STRING scalar or vector indicating how maturity date that falls on a non-trading day is treated. Parameter options and the default value are the same as convention.

  • rule (Constant, optional) –

    A STRING scalar or vector indicating how the list of dates is generated. It can be:

    • ’Backward’: Backward from maturity date to settlement date.

    • ’Forward’: Forward from settlement date to maturity date.

    • ’Zero’: No intermediate dates between settlement date and maturity date.

    • ’ThirdWednesday’: All dates but settlement date and maturity date are taken to be on the third Wednesday of their month (with forward calculation).

    • ’ThirdWednesdayInclusive’: All dates are taken to be on the third Wednesday of their month (with forward calculation).

    • ’Twentieth’: All dates but the settlement date are taken to be the twentieth of their month (used for CDS schedules in emerging markets). The maturity date is also modified.

    • ’TwentiethIMM’: All dates but the settlement date are taken to be the twentieth of an IMM (International Money Market) month(used for CDS schedules). The maturity date is also modified.

    • ’OldCDS’: Same as TwentiethIMM with unrestricted date ends and long/short stub coupon period (old CDS convention).

    • ’CDS’ (default): Credit derivatives standard rule defined in the “Big Bang” Protocol in 2009.

    • ’CDS2015’: Ammended credit derivatives standard rule that took effect on December 20, 2015.

Returns:

A DOUBLE scalar or vector.

Return type:

Constant

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