derivitec.tradables.types.CDS

class derivitec.tradables.types.CDS(business_day_convention=None, calendar=None, code=None, coupon_frequency=None, coupon_rate=None, currency=None, day_count_convention=None, debt_type=None, default_type=None, end_to_end=None, expiration_date=None, first_coupon_date=None, identifier=None, issuer_lei=None, markit_ticker=None, pay_accrual_at_default=None, penultimate_coupon_date=None, protection_at_start_of_day=None, reference_bond_identifier=None, roll_date=None, settlement_lag=None, settlement_type=None, start_date=None, use_imm_dates=None, **kwargs)[source]
__init__(business_day_convention=None, calendar=None, code=None, coupon_frequency=None, coupon_rate=None, currency=None, day_count_convention=None, debt_type=None, default_type=None, end_to_end=None, expiration_date=None, first_coupon_date=None, identifier=None, issuer_lei=None, markit_ticker=None, pay_accrual_at_default=None, penultimate_coupon_date=None, protection_at_start_of_day=None, reference_bond_identifier=None, roll_date=None, settlement_lag=None, settlement_type=None, start_date=None, use_imm_dates=None, **kwargs)[source]
Parameters:

  • business_day_convention – The business day convention

  • calendar – The calendar

  • code – The cds RED code

  • coupon_frequency – The coupon frequency

  • coupon_rate – The coupon rate

  • currency – The currency

  • day_count_convention – The day count convention

  • debt_type – The debt type

  • default_type – The default type

  • end_to_end – The end to end

  • expiration_date – The expiration date

  • first_coupon_date – The first coupon date

  • identifier – The security identifier

  • issuer_lei – The issuer LEI

  • markit_ticker – The markit ticker

  • pay_accrual_at_default – The pay accrual at default

  • penultimate_coupon_date – The penultimate coupon date

  • protection_at_start_of_day – The protection at start of day

  • reference_bond_identifier – The reference bond identifier

  • roll_date – The roll date

  • settlement_lag – The settlement lag

  • settlement_type – The settlement type

  • start_date – The start date

  • use_imm_dates – The use IMM dates flag

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([business_day_convention, ...])

json_params()

JSON param names.

rebuild(content)

Recursive rebuild.

recursive_decompose(item)

Helper function to recursively convert some types to a suitable format for json.

to_dict()

typename()