Credit Pricing Engines

IsdaCdsEngine

ql.IsdaCdsEngine(defaultProbability, recoveryRate, yieldTermStructure, includeSettlementDateFlows=None, numericalFix=ql.IsdaCdsEngine.Taylor, AccrualBias accrualBias=ql.IsdaCdsEngine.HalfDayBias, forwardsInCouponPeriod=ql.IsdaCdsEngine.Piecewise)

today = ql.Date().todaysDate()
defaultProbability = ql.DefaultProbabilityTermStructureHandle(
    ql.FlatHazardRate(today, ql.QuoteHandle(ql.SimpleQuote(0.01)), ql.Actual360())
)
yieldTermStructure = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.05, ql.Actual360()))

recoveryRate = 0.4
engine = ql.IsdaCdsEngine(defaultProbability, recoveryRate, yieldTermStructure)

MidPointCdsEngine

ql.MidPointCdsEngine(defaultProbability, recoveryRate, yieldTermStructure)

today = ql.Date().todaysDate()
defaultProbability = ql.DefaultProbabilityTermStructureHandle(
    ql.FlatHazardRate(today, ql.QuoteHandle(ql.SimpleQuote(0.01)), ql.Actual360())
)
yieldTermStructure = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.05, ql.Actual360()))

recoveryRate = 0.4
engine = ql.MidPointCdsEngine(defaultProbability, recoveryRate, yieldTermStructure)

IntegralCdsEngine

ql.IntegralCdsEngine(integrationStep, probability, recoveryRate, discountCurve, includeSettlementDateFlows=False)

today = ql.Date().todaysDate()
defaultProbability = ql.DefaultProbabilityTermStructureHandle(
    ql.FlatHazardRate(today, ql.QuoteHandle(ql.SimpleQuote(0.01)), ql.Actual360())
)
yieldTermStructure = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.05, ql.Actual360()))

integralStep = ql.Period('1d')
engine = ql.IntegralCdsEngine(integralStep, defaultProbability, 0.4, yieldTermStructure, includeSettlementDateFlows=False)

BlackCdsOptionEngine

ql.BlackCdsOptionEngine(defaultProbability, recoveryRate, yieldTermStructure, vol)

today = ql.Date().todaysDate()
defaultProbability = ql.DefaultProbabilityTermStructureHandle(
    ql.FlatHazardRate(today, ql.QuoteHandle(ql.SimpleQuote(0.01)), ql.Actual360())
)
yieldTermStructure = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.05, ql.Actual360()))


vol = ql.QuoteHandle(ql.SimpleQuote(0.2))
engine = ql.BlackCdsOptionEngine(defaultProbability, 0.4, yieldTermStructure, vol)