Create a par style CDS.

Description

Create a par style CDS. Protection will always apply from the value date until the last payment date.

Example Sheet

CDS.xlsx

Arguments

  • objectName The name that this object will be assigned on the map. Should be unique.
  • refEntity (ReferenceEntity)The reference entity whose default is covered by this CDS.
  • ccy (Currency)The currency of the cashflows of the premium and default legs.
  • paymentDates (Date[])The payment dates on which the premium is paid.
  • notionals (Double[])The notionals that define the protection amount in the period until each payment date and the basis on which the premiums are calculated.
  • rates (Double[])The simple rates that apply until the default time. Used to calculate the premium flows.
  • accrualFractions (Double[])The accrual fractions used to calculate the premiums paid on the paymentDates.
  • boughtProtection (Boolean)If set to TRUE then protection has been bought and the premium will be paid.