abaquant.credit.cds

Import path: abaquant.credit.cds

Domain: Credit-risk analytics and fundamentals-derived credit proxies.

Purpose

Credit-default-swap valuation primitives.

When to use it

Use this package for transition matrices, spread-based valuation, CDS/CDO building blocks, copula simulation, tail risk, and accounting-based credit diagnostics.

Public objects

  • function: cds_probability_table — Build the default and survival probability table used for CDS valuation.

  • function: cds_premium_leg_table — Build the discounted premium-leg cash-flow table for a CDS.

  • function: cds_contingent_leg_table — Build the discounted contingent-protection-leg cash-flow table for a CDS.

  • function: cds_accrued_premium_table — Build the accrued-premium approximation table for a CDS.

  • function: cds_fair_spread — Compute the fair annual CDS premium rate from leg present values.

  • function: value_cds — Value the CDS premium and protection legs and compute the fair spread.

Detailed reference

Credit-default-swap valuation primitives.

Purpose

The module constructs probability, premium-leg, contingent-leg, and accrued-premium tables and computes a fair CDS spread.

Conventions

Hazard and discount rates are decimal annual rates; maturity is in years; recovery is a fraction in [0, 1].

References

[ 1 ] Jarrow, R. A., and S. M. Turnbull (1995), “Pricing Derivatives on Financial Securities Subject to Credit Risk”.

abaquant.credit.cds.cds_accrued_premium_table(hazard_rate, discount_rate, maturity)

Build the accrued-premium approximation table for a CDS.

Parameters:

  • hazard_rate (float) – Constant default intensity in decimal annual units.

  • discount_rate (float) – Annual discount rate in decimal units.

  • maturity (int) – Time to option expiry in years.

Returns:

Tabular result with the index, column schema, units, and missing-value treatment defined by the module convention.

Return type:

pandas.DataFrame

abaquant.credit.cds.cds_contingent_leg_table(hazard_rate, discount_rate, maturity, recovery_rate)

Build the discounted contingent-protection-leg cash-flow table for a CDS.

Parameters:

  • hazard_rate (float) – Constant default intensity in decimal annual units.

  • discount_rate (float) – Annual discount rate in decimal units.

  • maturity (int) – Time to option expiry in years.

  • recovery_rate (float) – Recovery fraction expressed as a decimal in [0, 1].

Returns:

Tabular result with the index, column schema, units, and missing-value treatment defined by the module convention.

Return type:

pandas.DataFrame

abaquant.credit.cds.cds_fair_spread(vpc_total, vppp_total, vpv_total)

Compute the fair annual CDS premium rate from leg present values.

Parameters:

  • vpc_total (float) – Total present value of the CDS contingent leg.

  • vppp_total (float) – Total present value of the CDS premium-payment leg.

  • vpv_total (float) – Total present value of accrued CDS premium.

Returns:

Computed cds fair spread as a dimensionless decimal quantity.

Return type:

float

abaquant.credit.cds.cds_premium_leg_table(hazard_rate, discount_rate, maturity)

Build the discounted premium-leg cash-flow table for a CDS.

Parameters:

  • hazard_rate (float) – Constant default intensity in decimal annual units.

  • discount_rate (float) – Annual discount rate in decimal units.

  • maturity (int) – Time to option expiry in years.

Returns:

Tabular result with the index, column schema, units, and missing-value treatment defined by the module convention.

Return type:

pandas.DataFrame

abaquant.credit.cds.cds_probability_table(hazard_rate, maturity)

Build the default and survival probability table used for CDS valuation.

Parameters:

  • hazard_rate (float) – Constant default intensity in decimal annual units.

  • maturity (int) – Time to option expiry in years.

Returns:

Tabular result with the index, column schema, units, and missing-value treatment defined by the module convention.

Return type:

pandas.DataFrame

abaquant.credit.cds.value_cds(hazard_rate, discount_rate, maturity, recovery_rate)

Value the CDS premium and protection legs and compute the fair spread.

Parameters:

  • hazard_rate (float) – Constant default intensity in decimal annual units.

  • discount_rate (float) – Annual discount rate in decimal units.

  • maturity (int) – Time to option expiry in years.

  • recovery_rate (float) – Recovery fraction expressed as a decimal in [0, 1].

Returns:

Dictionary of named model outputs, metrics, or workflow results defined by the current public schema.

Return type:

dict[str, object]