cds-mechanics-and-upfront - Convert CDS quotes into upfront cash settlement
Converts CDS quoted spreads and coupons into clean upfront, RPV01, accrual rebates, maturity dates, and cash settlement amounts using standard conventions.
Tags
Updated: 2026-09-29Capabilities
Typical Inputs
Typical Outputs
What this skill does
- Convert spreads to upfront
- Calculate risky annuity RPV01
- Determine standard CDS maturity
- Apply IMM date conventions
- Calculate accrual rebates
- Reconcile clean and cash settlement
Inputs
- Quoted CDS spread
- Standard coupon
- Trade date
- Notional amount
- Recovery convention
- Discount curve
- CDS contract conventions
Outputs
- Clean upfront amount
- Risky annuity RPV01
- Standard maturity date
- Accrual rebate
- Cash settlement amount
- CDS accrual schedule
Requirements
- Python runtime
- SciPy for provided calculations
- QuantLib optional