In [1]: defaults.spec["us_ig_cds"]
Out[1]:
{'frequency': 'q',
'stub': 'shortfront',
'eom': False,
'modifier': 'none',
'calendar': 'nyc',
'payment_lag': 0,
'currency': 'usd',
'convention': 'act360',
'fixed_rate': 1.0}
In [2]: CDS(dt(2000, 12, 20), "10y", spec="us_ig_cds").kwargs
Out[2]:
{'effective': datetime.datetime(2000, 12, 20, 0, 0),
'termination': '10y',
'frequency': 'q',
'stub': 'shortfront',
'front_stub': <NoInput.blank: 0>,
'back_stub': <NoInput.blank: 0>,
'roll': <NoInput.blank: 0>,
'eom': False,
'modifier': 'none',
'calendar': 'nyc',
'payment_lag': 0,
'notional': 1000000.0,
'currency': 'usd',
'amortization': <NoInput.blank: 0>,
'convention': 'act360',
'leg2_effective': datetime.datetime(2000, 12, 20, 0, 0),
'leg2_termination': '10y',
'leg2_frequency': 'Z',
'leg2_stub': 'shortfront',
'leg2_front_stub': <NoInput.blank: 0>,
'leg2_back_stub': <NoInput.blank: 0>,
'leg2_roll': <NoInput.blank: 0>,
'leg2_eom': False,
'leg2_modifier': 'none',
'leg2_calendar': 'nyc',
'leg2_payment_lag': 0,
'leg2_notional': -1000000.0,
'leg2_currency': 'usd',
'leg2_amortization': <NoInput.blank: 0>,
'leg2_convention': 'act360',
'fixed_rate': 1.0,
'initial_exchange': False,
'final_exchange': False,
'leg2_initial_exchange': False,
'leg2_final_exchange': False,
'premium_accrued': True}
