Credit

CreditDefaultSwap

ql.CreditDefaultSwap(side, nominal, spread, cdsSchedule, convention, dayCounter)

side = ql.Protection.Seller
nominal = 10e6
spread = 34.6 / 10000
cdsSchedule = ql.MakeSchedule(ql.Date(20, 12, 2019), ql.Date(20, 12, 2024), ql.Period('3M'),
                            ql.Quarterly, ql.TARGET(), ql.Following, ql.Unadjusted, ql.DateGeneration.TwentiethIMM)

cds = ql.CreditDefaultSwap(side, nominal, spread, cdsSchedule, ql.Following, ql.Actual360())

CdsOption

ql.CdsOption(CreditDefaultSwap, exercise, knocksOut=true)

expiry = ql.Date(15,6,2020)
exercise = ql.EuropeanExercise(expiry)
ql.CdsOption(cds, exercise, True)