creditDefaultSwapPricer

creditDefaultSwapPricer(instrument, pricingDate, discountCurve, creditCurve, [config])

Prices an credit default swap (CDS) and returns its net present value (NPV).

instrument is an INSTRUMENT scalar or vector specifying the credit default swap to be priced. See CreditDefaultSwap for details.

pricingDate is a DATE scalar or vector specifying the pricing date.

discountCurve is a MKTDATA scalar or vector specifying the discount curve (IrYieldCurve).

creditCurve is a MKTDATA scalar or vector specifying the credit curve.

config (optional)is a dictionary (<STRING, ANY>) specifying the static data. Supported keys:

A DOUBLE scalar or vector representing the NPV of the CDS.

Prices a CDS and returns its NPV.

// =====================================================
// I. Construct the CNY FR007 discount zero-coupon yield curve
// =====================================================
def createCnyFr007CurveForCds(asOfDate){
    pillarDates = asOfDate + [
        2, 8, 93, 185, 276, 367,
        732, 1099, 1463, 1828, 2558, 3654
    ]
    pillarValues = [
        0.0215993931630537,
        0.0229075517972275,
        0.0253020667393029,
        0.0257564866303201,
        0.0259751440992468,
        0.0260355181479988,
        0.0265336263144786,
        0.0272721454114050,
        0.0282024453631075,
        0.0290231222075799,
        0.0304665029488732,
        0.0319855013976250
    ]
    discountCurveDict = {
        "mktDataType": "Curve",
        "curveType": "IrYieldCurve",
        "referenceDate": asOfDate,
        "currency": "CNY",
        "curveName": "CNY_FR_007",
        "dayCountConvention": "Actual365",
        "compounding": "Continuous",
        "interpMethod": "Linear",
        "extrapMethod": "Flat",
        "frequency": "NoFrequency",
        "dates": pillarDates,
        "values": pillarValues
    }
    return parseMktData(discountCurveDict)
}
// =====================================================
// II. Construct the CDS credit curve
// =====================================================
def createCreditCurveForCds(asOfDate){
    pillarDates = asOfDate + [
        2, 8, 93, 185, 276, 367,
        732, 1099, 1463
    ]
    hazardRates = [
        0.001577614619366,
        0.001587614619366,
        0.00217392030740149,
        0.00327736067786984,
        0.00687303437629905,
        0.0141416564486811,
        0.0219406380083359,
        0.0292999285840119,
        0.0342083758016553
    ]
    creditCurveDict = {
        "mktDataType": "Curve",
        "curveType": "CreditCurve",
        "referenceDate": asOfDate,
        "currency": "CNY",
        "curveName": "CFETS_SHCH_GTJA",
        "interpMethod": "Linear",
        "extrapMethod": "Flat",
        "dayCountConvention": "Actual365",
        "dates": pillarDates,
        "values": hazardRates
    }
    return parseMktData(creditCurveDict)
}
// =====================================================
// III. Set the pricing date
// =====================================================
pricingDate = 2020.09.07
// =====================================================
// IV. Construct the CDS instrument
// =====================================================
instrumentDict = {
    "productType": "Swap",
    "swapType": "CreditDefaultSwap",
    "instrumentId": "CFETS_SHCH_GTJA",
    "notionalAmount": 1.0e7,
    "notionalCurrency": "CNY",
    "start": 2019.06.20,
    "maturity": 2024.06.20,
    "payReceive": "Pay",
    "protectionLegRefPrice": 0.0,
    "protectionLegLeverage": 1.0,
    "protectionLegRecoveryRate": 0.4,
    "creditProtectionType": "PayProtectionAtMaturity",
    "creditPremiumType": "PayPremiumUptoCurrentPeriod",
    "premiumRate": 0.01,
    "dayCountConvention": "Actual360",
    "frequency": "Quarterly",
    "businessDayConvention": "ModifiedFollowing",
    "calendar": "CFET",
    "upfrontRate": 0.01,
    "rebateAccrual": false
}
instrument = parseInstrument(instrumentDict)
// =====================================================
// V. Generate the discount curve and credit curve
// =====================================================
discountCurve = createCnyFr007CurveForCds(pricingDate)
creditCurve = createCreditCurveForCds(pricingDate)
// =====================================================
// VI. Set CDS pricing parameters
// =====================================================
config = {
    "recoveryRate": 0.4
}
// =====================================================
// VII. Call the CDS pricer
// =====================================================
npv = creditDefaultSwapPricer(
    instrument,
    pricingDate,
    discountCurve,
    creditCurve,
    config=config
)
// =====================================================
// VIII. Output the CDS pricing result
// =====================================================
print("CreditDefaultSwap NPV = " + string(npv))

Releated links: creditCurveBuilder, parseInstrument, parseMktData