`fuggers_py.credit`¶

Public home for credit default swap (CDS) instruments, CDS quote records, CDS pricing, CDS risk, and bond-CDS relative value.

Use one-layer imports from fuggers_py.credit for credit objects and helpers.

from fuggers_py.credit import (
    Cds,
    CdsPricer,
    CdsQuote,
    ProtectionSide,
    adjusted_cds_spread,
    bond_cds_basis,
    cds_cs01,
)

What This Package Owns¶

credit owns:

CDS instruments: Cds, CreditDefaultSwap, CdsPremiumPeriod, and ProtectionSide.
CDS market records: CdsQuote and CdsReferenceData.
CDS pricing: CdsPricer and CdsPricingResult.
CDS risk helpers: risky_pv01, cds_cs01, and cs01.
Bond-CDS relative value helpers: adjusted_cds_spread, adjusted_cds_breakdown, bond_cds_basis, bond_cds_basis_breakdown, cds_adjusted_risk_free_rate, and proxy_risk_free_breakdown.
Result records for the relative value helpers: AdjustedCdsBreakdown, BondCdsBasisBreakdown, and RiskFreeProxyBreakdown.

Conventions¶

Rates and spreads are raw decimals. 0.0125 means 1.25%, or 125 basis points.
A basis point is 0.0001.
Recovery rates are raw decimals. 0.40 means 40%.
CDS notionals, present values, premium legs, protection legs, risky PV01, and CS01 are currency-unit Decimal values.
upfront fields are raw decimals of notional. 0.02 means 2% of notional.
ProtectionSide.BUY means buying default protection. ProtectionSide.SELL means selling default protection.
Cds is exactly the same class as CreditDefaultSwap. Use Cds for shorter code, or CreditDefaultSwap when the full name is clearer.
cs01 is exactly the same function as cds_cs01.

CDS Instruments¶

`Cds` and `CreditDefaultSwap`¶

CreditDefaultSwap represents one CDS contract. Use it when you need to build premium payment dates, price a CDS, or calculate CDS spread risk.

Cds is an alias for CreditDefaultSwap.

The main inputs are:

effective_date: first accrual date.
maturity_date: final accrual date. It must be after effective_date.
running_spread: the quoted running spread as a raw decimal.
notional: currency amount used to scale pricing results. It must be positive.
protection_side: buy or sell protection.
recovery_rate: expected recovered fraction after default. It must be in [0, 1).
currency: payment currency.
payment_frequency, day_count_convention, calendar, business_day_convention, end_of_month, and stub_rules: schedule rules.
accrued_on_default_fraction: fraction of a coupon period accrued if default happens inside that period. It must be in [0, 1].
upfront: upfront amount as a decimal of notional.
settlement_date: stored on the instrument. The current CDS pricer does not use it; pricing valuation dates come from the curves.
reference_entity and instrument_id: optional labels used by callers.

Constructor behavior:

Decimal-like values are converted to Decimal.
protection_side accepts ProtectionSide values or strings such as "buy", "buy protection", "sell", and "protection seller".
currency, payment_frequency, day_count_convention, calendar, and business_day_convention accept their normal objects or supported strings.
reference_entity is stripped of surrounding spaces.
instrument_id is parsed into an InstrumentId.
A zero payment frequency is rejected.

Useful public property and methods:

kind: returns "credit.cds".
schedule(): builds the payment schedule from the CDS dates and schedule rules.
premium_periods(): returns one CdsPremiumPeriod for each premium accrual period.
loss_given_default(): returns 1 - recovery_rate.
upfront_amount(): returns notional * upfront.

`CdsPremiumPeriod`¶

CdsPremiumPeriod is one premium accrual period. It stores:

start_date: period accrual start.
end_date: period accrual end.
payment_date: date when the premium for the period is paid.
year_fraction: accrual length as a Decimal.

premium_periods() creates these records from the instrument schedule and day count rule.

`ProtectionSide`¶

ProtectionSide stores the payoff direction.

ProtectionSide.BUY has sign +1.
ProtectionSide.SELL has sign -1.
parse(value) accepts supported strings and returns the enum value.
sign() returns Decimal(1) for BUY and Decimal(-1) for SELL.
opposite() returns the other side.

Example:

from decimal import Decimal

from fuggers_py import Date, InstrumentId
from fuggers_py.credit import Cds, ProtectionSide

cds = Cds(
    effective_date=Date.from_ymd(2026, 1, 15),
    maturity_date=Date.from_ymd(2031, 1, 15),
    running_spread=Decimal("0.0125"),
    notional=Decimal("10000000"),
    protection_side="buy protection",
    recovery_rate="0.40",
    currency="USD",
    payment_frequency="quarterly",
    day_count_convention="ACT/360",
    business_day_convention="modified following",
    upfront=Decimal("0.01"),
    reference_entity=" ACME Corp ",
    instrument_id=InstrumentId("ACME-CDS-5Y"),
)

assert cds.protection_side is ProtectionSide.BUY
assert cds.kind == "credit.cds"
assert cds.loss_given_default() == Decimal("0.60")
assert cds.upfront_amount() == Decimal("100000.00")

periods = cds.premium_periods()
first_period = periods[0]

print(first_period.start_date, first_period.end_date)
print(first_period.payment_date, first_period.year_fraction)

sell_side = cds.protection_side.opposite()
assert sell_side.sign() == Decimal("-1")

Quotes And Reference Data¶

`CdsQuote`¶

CdsQuote stores a market quote for one CDS. Use it when you need a clean quote record with an instrument id, spread, upfront, recovery, tenor, source, and optional bid/ask/mid values.

Fields:

instrument_id: parsed into InstrumentId.
par_spread: running spread as a raw decimal.
upfront: upfront as a raw decimal of notional.
recovery_rate: recovery as a raw decimal.
tenor: stripped and uppercased when present.
reference_entity: stripped when present.
as_of, currency, and source: quote metadata.
bid, ask, and mid: side-specific quote values.

Constructor behavior:

Decimal-like quote fields are converted to Decimal.
If mid is missing and both bid and ask are present, mid becomes their average.
If mid is still missing, it falls back to par_spread when present, then to upfront.

Useful public methods:

quoted_value(side="mid"): returns bid, ask, or mid. The side can be a quote-side enum or the strings "bid", "ask", or "mid".
for_side(side): returns a copy with par_spread set to the chosen side. It returns None if that side is unavailable.

`CdsReferenceData`¶

CdsReferenceData stores static reference information for a CDS. Use it for descriptive data that changes rarely, such as reference entity, tenor, seniority, restructuring clause, coupon, and recovery rate.

Constructor behavior:

instrument_id is parsed into InstrumentId.
reference_entity is stripped.
tenor, seniority, and restructuring_clause are stripped and uppercased.
coupon and recovery_rate are converted to Decimal when present.

Example:

from decimal import Decimal

from fuggers_py import Date, Currency
from fuggers_py.credit import CdsQuote, CdsReferenceData

quote = CdsQuote(
    instrument_id="acme-cds-5y",
    par_spread="0.0120",
    recovery_rate="0.40",
    tenor=" 5y ",
    reference_entity=" ACME Corp ",
    as_of=Date.from_ymd(2026, 1, 15),
    currency=Currency.USD,
    source=" dealer sheet ",
    bid=Decimal("0.0115"),
    ask=Decimal("0.0125"),
)

assert quote.tenor == "5Y"
assert quote.reference_entity == "ACME Corp"
assert quote.mid == Decimal("0.0120")
assert quote.quoted_value("ask") == Decimal("0.0125")

ask_quote = quote.for_side("ask")
assert ask_quote is not None
assert ask_quote.par_spread == Decimal("0.0125")

reference = CdsReferenceData(
    instrument_id="acme-cds-5y",
    reference_entity=" ACME Corp ",
    tenor=" 5y ",
    seniority=" snrfor ",
    restructuring_clause=" xr ",
    coupon="0.05",
    recovery_rate="0.40",
)

assert reference.tenor == "5Y"
assert reference.seniority == "SNRFOR"
assert reference.coupon == Decimal("0.05")

Pricing And Risk¶

Curve Inputs¶

CdsPricer takes a CDS and a curve container. A curve container can be any object with the attributes the pricer needs.

For discounting, the pricer looks in this order:

curves.multicurve_environment.discount_curve(cds.currency).
curves.discount_curve.
curves.collateral_curve.

The selected discount curve must expose:

reference_date: a Date.
discount_factor_at(tenor): discount factor for a year-based tenor.
spec.day_count: a day-count label such as "ACT/365F".

For credit risk, the pricer uses curves.credit_curve.

The credit curve must expose reference_date and one of these ways to get survival probability:

survival_probability(date).
survival_probability_at_tenor(tenor).
value_type plus value_at_tenor(tenor) or value_at(tenor), where the value type name ends in SURVIVAL_PROBABILITY, HAZARD_RATE, or CREDIT_SPREAD.

Survival probability means the chance the reference entity has not defaulted by the given date. If the credit curve stores hazard rates, the pricer converts the hazard rate into survival probability. If it stores credit spreads, the pricer converts spread into hazard using spread / (1 - recovery_rate).

The valuation date is the later of the discount curve reference date and the credit curve reference date. Premium periods ending on or before that valuation date are skipped.

`CdsPricer`¶

CdsPricer prices a CDS from discount and credit curves.

Constructor inputs:

default_timing_fraction: where default is assumed to happen inside each premium period. 0 means period start, 0.5 means midpoint, and 1 means period end. It must be in [0, 1].
cs01_bump: spread bump used by cs01(). The default is 0.0001, one basis point.

Useful public methods:

risky_pv01(cds, curves): currency value of one full 1.0 running-spread unit. Multiply by 0.0001 to get one-basis-point spread value.
accrued_on_default(cds, curves): expected accrued premium paid when default happens inside a period.
protection_leg(cds, curves): expected default protection payment.
premium_leg(cds, curves): cds.running_spread * risky_pv01.
par_spread(cds, curves): spread that makes the premium leg match the protection leg.
upfront(cds, curves): (protection_leg - premium_leg) / notional, returned as a raw decimal of notional.
pv(cds, curves): signed present value after subtracting the CDS upfront amount.
cs01(cds, curves): signed currency change for a one-basis-point spread move.
price(cds, curves): returns all main outputs in CdsPricingResult.

`CdsPricingResult`¶

CdsPricingResult stores the output from CdsPricer.price().

Fields:

premium_leg: currency value of the running spread payments. It is not flipped by protection side.
accrued_on_default: currency value of expected accrued premium on default. It is not flipped by protection side.
protection_leg: currency value of expected protection payments. It is not flipped by protection side.
par_spread: raw decimal spread.
upfront: raw decimal of notional.
present_value: signed by ProtectionSide.
risky_pv01: currency value of one full 1.0 running-spread unit. It is not flipped by protection side.
cs01: signed by ProtectionSide.

For the same CDS terms, selling protection flips present_value and cs01. The leg values, par spread, upfront, and risky PV01 stay the same.

Risk Helpers¶

risky_pv01(cds, curves, pricer=None) calls CdsPricer.risky_pv01(). If no pricer is passed, it creates a default CdsPricer.

cds_cs01(cds, curves, pricer=None) calls CdsPricer.cs01(). If no pricer is passed, it creates a default CdsPricer.

cs01 is an alias for cds_cs01.

Example:

from dataclasses import dataclass
from decimal import Decimal
import math
from types import SimpleNamespace

from fuggers_py import Date
from fuggers_py.credit import Cds, CdsPricer, ProtectionSide, cds_cs01, risky_pv01


class FlatDiscountCurve:
    def __init__(self, reference_date: Date, rate: Decimal) -> None:
        self.reference_date = reference_date
        self.rate = rate
        self.spec = SimpleNamespace(day_count="ACT/365F")

    def discount_factor_at(self, tenor: float) -> Decimal:
        return Decimal(str(math.exp(-float(self.rate) * tenor)))


@dataclass(frozen=True, slots=True)
class FlatCreditCurve:
    reference_date: Date
    hazard_rate: Decimal

    def survival_probability(self, date: Date) -> Decimal:
        tenor = max(self.reference_date.days_between(date), 0) / 365.0
        return Decimal(str(math.exp(-float(self.hazard_rate) * tenor)))


@dataclass(frozen=True, slots=True)
class CurveSet:
    discount_curve: FlatDiscountCurve
    credit_curve: FlatCreditCurve


valuation_date = Date.from_ymd(2026, 1, 15)
curves = CurveSet(
    discount_curve=FlatDiscountCurve(valuation_date, Decimal("0.035")),
    credit_curve=FlatCreditCurve(valuation_date, Decimal("0.020")),
)

buy_cds = Cds(
    effective_date=valuation_date,
    maturity_date=valuation_date.add_years(5),
    running_spread=Decimal("0.0125"),
    notional=Decimal("10000000"),
    protection_side=ProtectionSide.BUY,
    recovery_rate=Decimal("0.40"),
)

pricer = CdsPricer(default_timing_fraction=Decimal("0.5"))
result = pricer.price(buy_cds, curves)

par_spread_bps = result.par_spread * Decimal("10000")
cs01_value = cds_cs01(buy_cds, curves, pricer=pricer)
risky_annuity_value = risky_pv01(buy_cds, curves, pricer=pricer)

assert result.cs01 == cs01_value
assert result.risky_pv01 == risky_annuity_value
assert result.premium_leg == buy_cds.running_spread * result.risky_pv01

print(par_spread_bps)
print(result.present_value)
print(result.cs01)

Adjusted CDS Spread, Bond-CDS Basis, And Proxy Risk-Free Rate¶

These helpers use raw decimal rates and spreads. All inputs are converted to Decimal.

`adjusted_cds_spread` and `adjusted_cds_breakdown`¶

adjusted_cds_spread() removes explicit adjustments from a quoted CDS spread:

adjusted spread = quoted spread - delivery option adjustment - FX adjustment - other adjustment

Use it when the quoted CDS spread includes items you want to strip out before comparing it with a bond spread.

adjusted_cds_breakdown() returns the same calculation in an AdjustedCdsBreakdown record with:

quoted_spread
delivery_option_adjustment
fx_adjustment
other_adjustment
adjusted_spread

`bond_cds_basis` and `bond_cds_basis_breakdown`¶

bond_cds_basis() compares a bond spread with an adjusted CDS spread:

basis = bond spread - adjusted CDS spread

A positive value means the bond spread is wider than the adjusted CDS spread. A negative value means the bond spread is tighter than the adjusted CDS spread.

bond_cds_basis_breakdown() returns the same calculation in a BondCdsBasisBreakdown record with:

bond_spread
quoted_cds_spread
adjusted_cds_spread
delivery_option_adjustment
fx_adjustment
other_cds_adjustment
basis

`cds_adjusted_risk_free_rate` and `proxy_risk_free_breakdown`¶

cds_adjusted_risk_free_rate() starts with a bond yield, removes the adjusted CDS spread, then removes explicit liquidity and funding adjustments:

proxy risk-free rate = bond yield - adjusted CDS spread - liquidity adjustment - funding adjustment

Use it when a bond yield includes credit spread and other listed adjustments, and you want a simple proxy for a risk-free rate.

proxy_risk_free_breakdown() returns the same calculation in a RiskFreeProxyBreakdown record with:

bond_yield
quoted_cds_spread
adjusted_cds_spread
liquidity_adjustment
funding_adjustment
proxy_risk_free_rate

Example:

from decimal import Decimal

from fuggers_py.credit import (
    adjusted_cds_breakdown,
    adjusted_cds_spread,
    bond_cds_basis,
    bond_cds_basis_breakdown,
    cds_adjusted_risk_free_rate,
    proxy_risk_free_breakdown,
)

adjusted = adjusted_cds_breakdown(
    quoted_spread=Decimal("0.0320"),
    delivery_option_adjustment=Decimal("0.0030"),
    fx_adjustment=Decimal("0.0020"),
    other_adjustment=Decimal("0.0010"),
)

assert adjusted.adjusted_spread == Decimal("0.0260")
assert adjusted_cds_spread(
    quoted_spread=Decimal("0.0320"),
    delivery_option_adjustment=Decimal("0.0030"),
    fx_adjustment=Decimal("0.0020"),
    other_adjustment=Decimal("0.0010"),
) == adjusted.adjusted_spread

basis = bond_cds_basis_breakdown(
    bond_spread=Decimal("0.0180"),
    cds_spread=Decimal("0.0150"),
    delivery_option_adjustment=Decimal("0.0010"),
    fx_adjustment=Decimal("0.0005"),
)

assert basis.adjusted_cds_spread == Decimal("0.0135")
assert basis.basis == Decimal("0.0045")
assert bond_cds_basis(
    bond_spread=Decimal("0.0180"),
    cds_spread=Decimal("0.0150"),
    delivery_option_adjustment=Decimal("0.0010"),
    fx_adjustment=Decimal("0.0005"),
) == basis.basis

proxy = proxy_risk_free_breakdown(
    bond_yield=Decimal("0.0550"),
    cds_spread=Decimal("0.0200"),
    delivery_option_adjustment=Decimal("0.0020"),
    fx_adjustment=Decimal("0.0010"),
    liquidity_adjustment=Decimal("0.0005"),
    funding_adjustment=Decimal("0.0003"),
)

assert proxy.adjusted_cds_spread == Decimal("0.0170")
assert proxy.proxy_risk_free_rate == Decimal("0.0372")
assert cds_adjusted_risk_free_rate(
    bond_yield=Decimal("0.0550"),
    cds_spread=Decimal("0.0200"),
    delivery_option_adjustment=Decimal("0.0020"),
    fx_adjustment=Decimal("0.0010"),
    liquidity_adjustment=Decimal("0.0005"),
    funding_adjustment=Decimal("0.0003"),
) == proxy.proxy_risk_free_rate

Export Reference¶

Export	What it represents	Main behavior
`Cds`	Short name for `CreditDefaultSwap`.	Exact alias.
`CreditDefaultSwap`	One CDS contract.	Builds schedules and premium periods; stores notional, spread, side, recovery, upfront, schedule rules, and labels.
`CdsPremiumPeriod`	One premium accrual period.	Stores accrual start, accrual end, payment date, and year fraction.
`ProtectionSide`	Buy or sell protection direction.	Parses aliases, returns pricing sign, and returns the opposite side.
`CdsQuote`	Market quote for one CDS.	Normalizes quote fields and can return bid, ask, or mid values.
`CdsReferenceData`	Static CDS reference record.	Normalizes reference entity, tenor, seniority, restructuring clause, coupon, and recovery.
`CdsPricer`	CDS pricing calculator.	Resolves discount and credit curves, computes legs, par spread, upfront, PV, risky PV01, and CS01.
`CdsPricingResult`	CDS pricing output.	Stores legs, par spread, upfront, signed PV, risky PV01, and signed CS01.
`risky_pv01`	Convenience risk helper.	Calls `CdsPricer.risky_pv01()`.
`cds_cs01`	Convenience CS01 helper.	Calls `CdsPricer.cs01()`.
`cs01`	Short name for `cds_cs01`.	Exact alias.
`adjusted_cds_spread`	Adjusted CDS spread helper.	Returns quoted spread minus delivery, FX, and other adjustments.
`adjusted_cds_breakdown`	Adjusted CDS spread with detail.	Returns `AdjustedCdsBreakdown`.
`AdjustedCdsBreakdown`	Adjusted CDS spread output.	Stores quoted spread, adjustments, and adjusted spread.
`bond_cds_basis`	Bond spread versus adjusted CDS spread.	Returns `bond spread - adjusted CDS spread`.
`bond_cds_basis_breakdown`	Bond-CDS basis with detail.	Returns `BondCdsBasisBreakdown`.
`BondCdsBasisBreakdown`	Bond-CDS basis output.	Stores bond spread, quoted CDS spread, adjusted CDS spread, adjustments, and basis.
`cds_adjusted_risk_free_rate`	CDS-adjusted proxy risk-free rate.	Returns bond yield minus adjusted CDS spread, liquidity adjustment, and funding adjustment.
`proxy_risk_free_breakdown`	Proxy risk-free rate with detail.	Returns `RiskFreeProxyBreakdown`.
`RiskFreeProxyBreakdown`	Proxy risk-free rate output.	Stores bond yield, CDS spreads, liquidity adjustment, funding adjustment, and proxy rate.

Boundaries¶

Bond instruments, bond spreads, and bond pricing live in fuggers_py.bonds.
Curve objects live in fuggers_py.curves.
Portfolio credit-quality aggregation lives in fuggers_py.portfolio.

First-layer public facade for credit-domain objects.

class fuggers_py.credit.AdjustedCdsBreakdown(quoted_spread, delivery_option_adjustment, fx_adjustment, other_adjustment, adjusted_spread)¶

Parameters:

quoted_spread (Decimal)
delivery_option_adjustment (Decimal)
fx_adjustment (Decimal)
other_adjustment (Decimal)
adjusted_spread (Decimal)

class fuggers_py.credit.BondCdsBasisBreakdown(bond_spread, quoted_cds_spread, adjusted_cds_spread, delivery_option_adjustment, fx_adjustment, other_cds_adjustment, basis)¶

Parameters:

bond_spread (Decimal)
quoted_cds_spread (Decimal)
adjusted_cds_spread (Decimal)
delivery_option_adjustment (Decimal)
fx_adjustment (Decimal)
other_cds_adjustment (Decimal)
basis (Decimal)

fuggers_py.credit.Cds¶: alias of CreditDefaultSwap

class fuggers_py.credit.CdsPremiumPeriod(start_date, end_date, payment_date, year_fraction)¶

Parameters:

start_date (Date)
end_date (Date)
payment_date (Date)
year_fraction (Decimal)

class fuggers_py.credit.CdsPricer(default_timing_fraction=Decimal('0.5'), cs01_bump=Decimal('0.0001'))¶

Parameters:

default_timing_fraction (Decimal)
cs01_bump (Decimal)

class fuggers_py.credit.CdsPricingResult(premium_leg, accrued_on_default, protection_leg, par_spread, upfront, present_value, risky_pv01, cs01)¶

Parameters:

premium_leg (Decimal)
accrued_on_default (Decimal)
protection_leg (Decimal)
par_spread (Decimal)
upfront (Decimal)
present_value (Decimal)
risky_pv01 (Decimal)
cs01 (Decimal)

class fuggers_py.credit.CdsQuote(instrument_id, par_spread=None, upfront=None, recovery_rate=None, tenor=None, reference_entity=None, as_of=None, currency=None, source=None, bid=None, ask=None, mid=None)¶

CDS quote record with raw decimal spread and recovery fields.

Parameters:

instrument_id (InstrumentId)
par_spread (Decimal | None)
upfront (Decimal | None)
recovery_rate (Decimal | None)
tenor (str | None)
reference_entity (str | None)
as_of (Date | None)
currency (Currency | None)
source (str | None)
bid (Decimal | None)
ask (Decimal | None)
mid (Decimal | None)

quoted_value(side=QuoteSide.MID)¶

Return the side-specific CDS spread when present.

Return type:: Decimal | None
Parameters:: side (QuoteSide)

for_side(side)¶

Return a copy normalized to a different quote side.

Return type:: CdsQuote’ | None
Parameters:: side (QuoteSide)

class fuggers_py.credit.CdsReferenceData(instrument_id, reference_entity, currency=Currency.<bound method Currency.name of <Currency.USD: 'USD'>>, tenor=None, seniority=None, restructuring_clause=None, coupon=None, recovery_rate=None)¶

CDS reference record with raw decimal coupon and recovery fields.

Parameters:

instrument_id (InstrumentId)
reference_entity (str)
currency (Currency)
tenor (str | None)
seniority (str | None)
restructuring_clause (str | None)
coupon (Decimal | None)
recovery_rate (Decimal | None)

class fuggers_py.credit.CreditDefaultSwap(effective_date, maturity_date, running_spread, notional=Decimal('1000000'), protection_side=ProtectionSide.BUY, recovery_rate=Decimal('0.4'), currency=Currency.<bound method Currency.name of <Currency.USD: 'USD'>>, payment_frequency=Frequency.QUARTERLY, day_count_convention=DayCountConvention.<bound method DayCountConvention.name of <DayCountConvention.ACT_360: 'ACT_360'>>, calendar=<factory>, business_day_convention=BusinessDayConvention.MODIFIED_FOLLOWING, end_of_month=True, stub_rules=<factory>, accrued_on_default_fraction=Decimal('0.5'), upfront=Decimal('0'), settlement_date=None, reference_entity=None, instrument_id=None)¶

Parameters:

effective_date (Date)
maturity_date (Date)
running_spread (Decimal)
notional (Decimal)
protection_side (ProtectionSide | str)
recovery_rate (Decimal)
currency (Currency | str)
payment_frequency (Frequency | str)
day_count_convention (DayCountConvention | str)
calendar (CalendarId | str)
business_day_convention (BusinessDayConvention | str)
end_of_month (bool)
stub_rules (object)
accrued_on_default_fraction (Decimal)
upfront (Decimal)
settlement_date (Date | None)
reference_entity (str | None)
instrument_id (InstrumentId | None)

class fuggers_py.credit.ProtectionSide(value)¶

class fuggers_py.credit.RiskFreeProxyBreakdown(bond_yield, quoted_cds_spread, adjusted_cds_spread, liquidity_adjustment, funding_adjustment, proxy_risk_free_rate)¶

Parameters:

bond_yield (Decimal)
quoted_cds_spread (Decimal)
adjusted_cds_spread (Decimal)
liquidity_adjustment (Decimal)
funding_adjustment (Decimal)
proxy_risk_free_rate (Decimal)

fuggers_py.credit.cds_cs01(cds, curves, *, pricer=None)¶

Return the signed one-basis-point CDS spread sensitivity.

Return type:

Decimal

Parameters:

cds (CreditDefaultSwap)
curves (object)
pricer (CdsPricer | None)

fuggers_py.credit.cs01(cds, curves, *, pricer=None)¶

Return the signed one-basis-point CDS spread sensitivity.

Return type:

Decimal

Parameters:

cds (CreditDefaultSwap)
curves (object)
pricer (CdsPricer | None)

fuggers_py.credit.risky_pv01(cds, curves, *, pricer=None)¶

Return the CDS risky PV01 from the credit and discount curves.

Return type:

Decimal

Parameters:

cds (CreditDefaultSwap)
curves (object)
pricer (CdsPricer | None)

fuggers_py.credit¶

What This Package Owns¶

Conventions¶

CDS Instruments¶

Cds and CreditDefaultSwap¶

CdsPremiumPeriod¶

ProtectionSide¶

Quotes And Reference Data¶

CdsQuote¶

CdsReferenceData¶

Pricing And Risk¶

Curve Inputs¶

CdsPricer¶

CdsPricingResult¶

Risk Helpers¶

Adjusted CDS Spread, Bond-CDS Basis, And Proxy Risk-Free Rate¶

adjusted_cds_spread and adjusted_cds_breakdown¶

bond_cds_basis and bond_cds_basis_breakdown¶

cds_adjusted_risk_free_rate and proxy_risk_free_breakdown¶

Export Reference¶

Boundaries¶

`fuggers_py.credit`¶

`Cds` and `CreditDefaultSwap`¶

`CdsPremiumPeriod`¶

`ProtectionSide`¶

`CdsQuote`¶

`CdsReferenceData`¶

`CdsPricer`¶

`CdsPricingResult`¶

`adjusted_cds_spread` and `adjusted_cds_breakdown`¶

`bond_cds_basis` and `bond_cds_basis_breakdown`¶

`cds_adjusted_risk_free_rate` and `proxy_risk_free_breakdown`¶