Definition of a credit event for credit default swap (CDS) instruments.
| Name | Type | Description | Notes |
|---|---|---|---|
| effectiveDate | OffsetDateTime | The date of the credit default - i.e. date on which the debt issuer defaulted on its repayment obligation. | |
| auctionDate | OffsetDateTime | The date of the credit event auction - i.e. date on which the defaulted debt is sold via auction, and a recovery rate determined. | [optional] |
| recoveryRate | java.math.BigDecimal | The fraction of the defaulted debt that can be recovered. | [optional] |