CreditPremiumLeg#

class rateslib.legs.CreditPremiumLeg(*args, fixed_rate=NoInput.blank, premium_accrued=NoInput.blank, **kwargs)#

Bases: BaseLeg, _FixedLegMixin

Create a credit premium leg composed of CreditPremiumPeriod s.

Parameters:

args (tuple) – Required positional args to BaseLeg.
fixed_rate (float, optional) – The credit spread applied to determine cashflows in percentage points (i.e 50bps = 0.50). Can be left unset and designated later, perhaps after a mid-market rate for all periods has been calculated.
premium_accrued (bool, optional) – Whether the premium is accrued within the period to default.
kwargs (dict) – Required keyword arguments to BaseLeg.

Notes

The NPV of a credit premium leg is the sum of the period NPVs.

\[P = \sum_{i=1}^n P_i\]

The analytic delta is the sum of the period analytic deltas.

\[A = -\frac{\partial P}{\partial S} = \sum_{i=1}^n -\frac{\partial P_i}{\partial S}\]

Examples

In [1]: disc_curve = Curve({dt(2022, 1, 1): 1.0, dt(2023, 1, 1): 0.98})

In [2]: hazard_curve = Curve({dt(2022, 1, 1): 1.0, dt(2023, 1, 1): 0.995})

In [3]: premium_leg = CreditPremiumLeg(
   ...:     dt(2022, 1, 1), "9M", "Q",
   ...:     fixed_rate=2.60,
   ...:     notional=1000000,
   ...: )
   ...: 

In [4]: premium_leg.cashflows(hazard_curve, disc_curve)
Out[4]: 
                  Type   Period  Ccy  Acc Start    Acc End    Payment Convention  DCF   Notional   DF Collateral  Rate  Survival  Cashflow      NPV  FX Rate  NPV Ccy
0  CreditPremiumPeriod  Regular  USD 2022-01-01 2022-04-01 2022-04-03     ACT360 0.25 1000000.00 0.99       None  2.60      1.00  -6500.00 -6462.99     1.00 -6462.99
1  CreditPremiumPeriod  Regular  USD 2022-04-01 2022-07-01 2022-07-03     ACT360 0.25 1000000.00 0.99       None  2.60      1.00  -6572.22 -6493.89     1.00 -6493.89
2  CreditPremiumPeriod  Regular  USD 2022-07-01 2022-10-01 2022-10-03     ACT360 0.26 1000000.00 0.98       None  2.60      1.00  -6644.44 -6523.71     1.00 -6523.71

In [5]: premium_leg.npv(hazard_curve, disc_curve)
Out[5]: -19480.592647251025

Methods Summary

`accrued`(settlement)	Calculate the amount of premium accrued until a specific date within the relevant Period.
`analytic_delta`(args, *kwargs)	Return the analytic delta of the CreditPremiumLeg via summing all periods.
`cashflows`(args, *kwargs)	Return the properties of the CreditPremiumLeg used in calculating cashflows.
`npv`(args, *kwargs)	Return the NPV of the CreditPremiumLeg via summing all periods.

Methods Documentation

accrued(settlement)#

Calculate the amount of premium accrued until a specific date within the relevant Period.

Parameters:: settlement (datetime) – The date against which accrued is measured.
Return type:: float

analytic_delta(*args, **kwargs)#

Return the analytic delta of the CreditPremiumLeg via summing all periods.

For arguments see BasePeriod.analytic_delta().

cashflows(*args, **kwargs)#

Return the properties of the CreditPremiumLeg used in calculating cashflows.

For arguments see BasePeriod.cashflows().

npv(*args, **kwargs)#

Return the NPV of the CreditPremiumLeg via summing all periods.

For arguments see BasePeriod.npv().

CreditPremiumLeg#

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