CreditProtectionPeriod

class rateslib.periods.CreditProtectionPeriod(*args, **kwargs)

Bases: BasePeriod

Create a credit protection period defined by a recovery rate.

Parameters:

• args (dict) – Required positional args to BasePeriod.

• recovery_rate (float, Dual, Dual2, optional) – The assumed recovery rate that defines payment on credit default. Set by defaults.

• kwargs (dict) – Required keyword arguments to BasePeriod.

Notes

The cashflow, paid on a credit event, is defined as follows;

\[C = -N(1-R)\]

where R is the recovery rate.

The npv() is defined as a discretized sum of inter-period blocks whose probability of default and protection payment sum to give an expected payment;

\[\begin{split}j &= [n/discretization] \\ P &= C \sum_{i=1}^{j} \frac{1}{2} \left ( v(m_{i-1}) + v_(m_{i}) \right ) \left ( Q(m_{i-1}) - Q(m_{i}) \right ) \\\end{split}\]

The start and end of the period are restricted by the Curve if the Period is current (i.e. today is later than start)

The analytic_delta() is defined as;

\[A = 0\]

Methods Summary

analytic_delta([curve, disc_curve, fx, base])	Return the analytic delta of the CreditProtectionPeriod.
analytic_rec_risk([curve, disc_curve, fx, base])	Calculate the exposure of the NPV to a change in recovery rate.
cashflow(curve)	float, Dual or Dual2 : The calculated protection amount determined from notional and recovery rate.
cashflows([curve, disc_curve, fx, base])	Return the cashflows of the CreditProtectionPeriod.
npv([curve, disc_curve, fx, base, local])	Return the NPV of the CreditProtectionPeriod.

Methods Documentation

analytic_delta(curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, base=NoInput.blank)

Return the analytic delta of the CreditProtectionPeriod. See BasePeriod.analytic_delta()

analytic_rec_risk(curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, base=NoInput.blank)

Calculate the exposure of the NPV to a change in recovery rate.

For parameters see BasePeriod.analytic_delta()

Return type:

float

cashflow(curve)

float, Dual or Dual2 : The calculated protection amount determined from notional and recovery rate.

cashflows(curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, base=NoInput.blank)

Return the cashflows of the CreditProtectionPeriod. See BasePeriod.cashflows()

npv(curve=NoInput.blank, disc_curve=NoInput.blank, fx=NoInput.blank, base=NoInput.blank, local=False)

Return the NPV of the CreditProtectionPeriod. See BasePeriod.npv()