cds.Definition
Creates a cds.Definition object.
Syntax
cds.Definition(params)
Parameters
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| instrument_tag | A user-defined string to identify the instrument. | string | No | - |
| instrument_code | A CDS RIC that is used to retrieve the description of the CDS contract. | string | Yes | - |
| cds_convention | ISDA - the start date will default to accruedBeginDate and the end date will be adjusted to the IMM Date.User-defined - the start date will default to step-in-date and the end date will not be adjusted. See CdsConvention | enum | Yes | - |
| trade_date | The date the CDS contract was created in ISO 8601 format. | string | Yes | - |
| step_in_date | The effective protection date in ISO 8601 format. | string | Yes | - |
| start_date | The date the CDS starts accruing interest. Its effective date is expressed in ISO 8601 format. | string | Yes | - |
| end_date | The maturity date of the CDS contract in ISO 8601 format. | string | Yes | - |
| tenor | The period code that represents the time between the start date and end date contract. | string | Yes | - |
| start_date_moving_convention | The method to adjust the startDate See BusinessDayConvention | enum | Yes | - |
| end_date_moving_convention | The method to adjust the endDate. See BusinessDayConvention | enum | Yes | - |
| adjust_to_isda_end_date | The method the endDate is adjusted if computed from the Tenor input.True- the endDate is an IMM date computed from the startDate according to ISDA convention.False- the endDate is computed from the startDate according to the endDateMovingConvention. |
bool | Yes | - |
| protection_leg | The protection leg of the CDS. It is the default leg. See cds.ProtectionLegDefinition bellow | object | Yes | - |
| premium_leg | The Premium Leg of the CDS. It is a swap leg paying a fixed coupon. See cds.PremiumLegDefinition bellow | object | Yes | - |
| accrued_begin_date | The first cash flow date in ISO 8601 format. | string | No | - |
| fields | List of fields to request. | list | Yes | - |
| calculation_params | See PricingParameters bellow | object | Yes | - |
| extended_params | Specifies the parameters that will be merged with the request. | dict | Yes | - |
Returned value
cds.Definition instance
Related links
- Direction
- InterestType
- Frequency
- DayCountBasis
- BusinessDayConvention
- DateRollingConvention
- AmortizationItem
- StubRule
- PricingParameters
The protection leg of the CDS. It is the default leg
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| direction | The direction of the leg (see Direction). | enum, str | Yes | - |
| notional_ccy | The ISO 4217 code of the notional currency. | str | Yes | - |
| notional_amount | The notional amount of the leg at the period start date. | float | Yes | - |
| doc_clause | The restructuring clause or credit event for a Single Name CDS (see DocClause). | enum, str | Yes | - |
| index_factor | The factor that is applied to the notional in case a credit event happens in one of the constituents of the CDS index. Specific to index CDS. | number | Yes | - |
| index_series | The series of the CDS index. Specific to index CDS. | number | Yes | - |
| notional_amount | The notional amount of the leg at the period start date. | number | Yes | - |
| notional_ccy | The ISO 4217 code of the notional currency. | string | Yes | - |
| recovery_rate | The percentage of recovery in case of a credit event. | number | Yes | - |
| recovery_rate_percent | The percentage of recovery in case of a credit event. | number | Yes | - |
| reference_entity | The identifier of the reference entity. This can be: for Single Names - a RedCode, an OrgId, or a reference entity's RIC; for Indices - a RedCode, a ShortName, a CommonName. | string | Yes | - |
| seniority | The order of repayment in case of a credit event for Single Name CDS (see Seniority). | enum, str | Yes | - |
| settlement_convention | The cash settlement convention of the CDS. | string | Yes | - |
cds.PremiumLegDefinition
The Premium Leg of the CDS. It is a swap leg paying a fixed coupon.
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| direction | This is the direction of the leg. See Direction | enum, str | No | - |
| notional_ccy | The ISO code of the notional currency. | string | Yes | - |
| notional_amount | The notional amount of the leg at the period start date. | number | Yes | - |
| fixed_rate_percent | The fixed coupon rate in percentage. It is mandatory in case of a single leg instrument. Otherwise, in case of multi leg instrument, it can be computed as the Par rate. | number | Yes | - |
| interest_payment_ccy | The ISO code of the interest payment currency. | string | No | - |
| interest_payment_frequency | The frequency of the interest payments. See Frequency | enum, str | No | - |
| interest_calculation_method | The method used to calculate the interest payments. See DayCountBasis | enum, str | No | - |
| accrued_calculation_method | The method used to calculate the accrued interest payment. The possible values are the same as interestCalculationMethod. See DayCountBasis | enum, str | Yes | - |
| payment_business_day_convention | This is the method to adjust dates to a working day. See BusinessDayConvention | enum, str | Yes | - |
| first_regular_payment_date | The first regular coupon payment date for a schedule with an odd first coupon. | string | Yes | - |
| last_regular_payment_date | The last regular coupon payment date for a schedule with an odd last coupon. | string | Yes | - |
| payment_business_days | A list of coma-separated calendar codes to adjust dates (e.g., EMU or USA). | string | Yes | - |
| stub_rule | The rule that defines whether the coupon roll dates are calculated backwards from maturity or forward from the issue date. See StubRule | enum, str | Yes | - |
| accrued_paid_on_default | Specifies whether the accrued is paid at the credit event date or not.True- the accrued is paid at the credit event date.False- the accrued is not paid. |
bool | Yes | - |
Learn more
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