abaquant.credit.valuation

Import path: abaquant.credit.valuation

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

Purpose

CreditMetrics-style bond valuation by destination rating.

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: bond_values_per_rating — Compute future bond values for each destination credit-rating state.

Detailed reference

CreditMetrics-style bond valuation by destination rating.

Purpose

The module evaluates a coupon bond under each future rating state using spreads, recovery, and rating-dependent discounting inputs.

Conventions

Face value is currency, coupon and recovery are fractions, maturity is in years, and spread inputs are decimal annual rates.

References

[ 1 ] Merton, R. C. (1974), “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”. [ 2 ] Li, D. X. (2000), “On Default Correlation: A Copula Function Approach”.

abaquant.credit.valuation.bond_values_per_rating(face_value, coupon_rate, T, payments_per_year, recovery_pct, spreads, include_d=True, spread_times=None)

Compute future bond values for each destination credit-rating state.

Parameters:

  • face_value (float) – Bond nominal or face value in currency units.

  • coupon_rate (float) – Coupon rate as a decimal fraction of face value.

  • T (int) – Time to maturity in years.

  • payments_per_year (int) – Coupon payments per year.

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

  • spreads (np.ndarray) – Rating- and maturity-specific credit-spread inputs in decimal annual units.

  • include_d (bool, default=True) – Whether the default state is included in the requested output.

  • spread_times (np.ndarray | None, default=None) – Times in years corresponding to the supplied spread term structure.

Returns:

Result of the bond values per rating calculation.

Return type:

np.ndarray