Add notebook to see payment and accrual dates

domokane · Jul 2, 2023 · 0a82b19 · 0a82b19
1 parent b274250
commit 0a82b19
Showing 1 changed file with 129 additions and 0 deletions.
diff --git a/notebooks/products/credit/FINCDS_ForwardAndBackward.ipynb b/notebooks/products/credit/FINCDS_ForwardAndBackward.ipynb
@@ -0,0 +1,129 @@
+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": 1,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "####################################################################\n",
+      "# FINANCEPY BETA Version 0.300 - This build:  30 Jun 2023 at 19:34 #\n",
+      "#     This software is distributed FREE AND WITHOUT ANY WARRANTY   #\n",
+      "#  Report bugs as issues at https://github.com/domokane/FinancePy  #\n",
+      "####################################################################\n",
+      "\n"
+     ]
+    }
+   ],
+   "source": [
+    "from financepy.utils import *\n",
+    "from financepy.products.credit import *"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 2,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "effective_date = Date(20, 2, 2009)\n",
+    "maturity_date = Date(20, 3, 2010)\n",
+    "running_coupon = 0.01"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 3,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "OBJECT TYPE: CDS\n",
+      "STEP-IN DATE: 20-FEB-2009\n",
+      "MATURITY: 20-MAR-2010\n",
+      "NOTIONAL: 1000000\n",
+      "RUNNING COUPON: 100.0bp\n",
+      "DAYCOUNT: DayCountTypes.ACT_360\n",
+      "FREQUENCY: FrequencyTypes.QUARTERLY\n",
+      "CALENDAR: CalendarTypes.WEEKEND\n",
+      "BUSDAYRULE: BusDayAdjustTypes.FOLLOWING\n",
+      "DATEGENRULE: DateGenRuleTypes.BACKWARD\n",
+      "ACCRUED DAYS: 60.0\n",
+      "PAYMENT_DATE, YEAR_FRAC, FLOW, ACCRUAL_START, ACCTUAL_END\n",
+      "20-MAR-2009,     0.244444,  2444.444444, 22-DEC-2008, 19-MAR-2009\n",
+      "22-JUN-2009,     0.261111,  2611.111111, 20-MAR-2009, 21-JUN-2009\n",
+      "21-SEP-2009,     0.252778,  2527.777778, 22-JUN-2009, 20-SEP-2009\n",
+      "21-DEC-2009,     0.252778,  2527.777778, 21-SEP-2009, 20-DEC-2009\n",
+      "22-MAR-2010,     0.250000,  2500.000000, 21-DEC-2009, 20-MAR-2010\n"
+     ]
+    }
+   ],
+   "source": [
+    "# Reference: https://www.cdsmodel.com/assets/cds-model/docs/Standard%20CDS%20Examples.pdf\n",
+    "cds_backward = CDS(effective_date, maturity_date, running_coupon, date_gen_rule_type=DateGenRuleTypes.BACKWARD)\n",
+    "print(cds_backward)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 4,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "OBJECT TYPE: CDS\n",
+      "STEP-IN DATE: 20-FEB-2009\n",
+      "MATURITY: 20-MAR-2010\n",
+      "NOTIONAL: 1000000\n",
+      "RUNNING COUPON: 100.0bp\n",
+      "DAYCOUNT: DayCountTypes.ACT_360\n",
+      "FREQUENCY: FrequencyTypes.QUARTERLY\n",
+      "CALENDAR: CalendarTypes.WEEKEND\n",
+      "BUSDAYRULE: BusDayAdjustTypes.FOLLOWING\n",
+      "DATEGENRULE: DateGenRuleTypes.FORWARD\n",
+      "ACCRUED DAYS: 0.0\n",
+      "PAYMENT_DATE, YEAR_FRAC, FLOW, ACCRUAL_START, ACCTUAL_END\n",
+      "20-MAY-2009,     0.247222,  2472.222222, 20-FEB-2009, 19-MAY-2009\n",
+      "20-AUG-2009,     0.255556,  2555.555556, 20-MAY-2009, 19-AUG-2009\n",
+      "20-NOV-2009,     0.255556,  2555.555556, 20-AUG-2009, 19-NOV-2009\n",
+      "22-FEB-2010,     0.261111,  2611.111111, 20-NOV-2009, 21-FEB-2010\n",
+      "22-MAR-2010,     0.075000,   750.000000, 22-FEB-2010, 20-MAR-2010\n"
+     ]
+    }
+   ],
+   "source": [
+    "cds_forward = CDS(effective_date, maturity_date, running_coupon, date_gen_rule_type=DateGenRuleTypes.FORWARD)\n",
+    "print(cds_forward)"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "env",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.10.6"
+  },
+  "orig_nbformat": 4
+ },
+ "nbformat": 4,
+ "nbformat_minor": 2
+}