Metadata-Version: 1.1
Name: cdstools
Version: 0.0.3
Summary: Tools designed for use with CDS data
Home-page: https://github.com/732jhy
Author: Justin Yu
Author-email: 732jhy@gmail.com
License: MIT
Description: This package offers users simple tools designed for Credit Default Swap (CDS) data. 
        Included in this package is a hazard rate bootstrapping function which 
        implements the JP Morgan model for determining hazard rate curves, and spread calculators
        for both vanilla and binary CDSs. All functions linearly interpolate/extrapolate yield
        curve values wherever necessary.
        
        To be included in future releases will be a function that prices Credit Default 
        Swaptions (options on CDSs). Also, later editions of this package will offer the users
        options for interpolating/extrapolating yield curve values. 
        
        Bootstrapping Function:
        This function implements the so-called JP Morgan model. This model makes the 
        assumptions that the interest rate process is independent of the default process
        and that default leg pays at the end of each accrual period. Typically, regular
        fee payments occur at the end of each period. To that end, this model assumes
        that defaults occur midway buring each payment period. And finally, this model
        assumes that the hazard rate is piecewise constant on the intervals that correspond
        to the maturities of the CDS contracts.
        
        CDS pricing function:
        This function calculates the "fair" spread of a vanilla CDS, i.e. the spread that 
        makes the value of the default/floating leg equal to the value of the payment/fixed 
        leg. This is accomplished by using a given yield curve and given credit curve.
        
        Binary CDS pricing function:
        Similar to the previous function, this one calculates the "fair" spread of a binary CDS
        by finding the spread that equates the value of the default/floating leg equal to
        the value of the payment/fixed leg. This is also accomplished using a provided
        yield curve and credit curve
        
        
        
        Change Log
        =========================
        
        0.0.1 (10/08/2020)
        -------------------------
        - First Release
        
        
        0.0.2 (10/10/2020)
        -------------------------
        - CDS spread calculator added. Some typos corrected.
        
        
        0.0.3 (10/11/2020)
        -------------------------
        - Yield curve interpolation/extrapolation component was corrected.
        - Binary CDS spread calculator added.
        - Documentation updated
        
        
Keywords: Credit Default Swap
Platform: UNKNOWN
Classifier: Development Status :: 5 - Production/Stable
Classifier: Intended Audience :: Financial and Insurance Industry
Classifier: Operating System :: Microsoft :: Windows :: Windows 10
Classifier: License :: OSI Approved :: MIT License
Classifier: Programming Language :: Python :: 3
