In [1]: defaults.spec["us_ig_cds"]
Out[1]:
{'frequency': 'q',
'stub': 'shortfront',
'roll': 20,
'eom': False,
'modifier': 'fex',
'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]:
{'notional': 1000000.0,
'currency': 'usd',
'amortization': <NoInput.blank: 0>,
'convention': 'act360',
'leg2_notional': -1000000.0,
'leg2_currency': 'usd',
'leg2_amortization': <NoInput.blank: 0>,
'leg2_convention': 'act360',
'fixed_rate': 1.0,
'schedule': <rl.Schedule at 0x12197ae60>,
'leg2_schedule': <rl.Schedule at 0x12197adb0>,
'initial_exchange': False,
'final_exchange': False,
'leg2_initial_exchange': False,
'leg2_final_exchange': False,
'premium_accrued': True}
