Metadata-Version: 1.1
Name: cdstools
Version: 0.0.2
Summary: Tools designed for use with CDS data
Home-page: https://github.com/732jhy
Author: Justin Yu
Author-email: 732jhy@gmail.com
License: MIT
Description: This package offers users simple tools designed for Credit Default Swap (CDS) data. 
        Included in this package is a hazard rate bootstrapping function which 
        implements the JP Morgan model for determining hazard rate curves. To be Included
        in future releases will be a pricing function that detemines a CDS's spread based
        on the yield curve and default probabilities, and a function that prices Credit
        Default Swaptions (options on CDSs).
        
        Bootstrapping Function:
        This function implements the so-called JP Morgan model. This model makes the 
        assumptions that the interest rate process is independent of the default process
        and that default leg pays at the end of each accrual period. Typically, regular
        fee payments occur at the end of each period. To that end, this model assumes
        that defaults occur midway buring each payment period. And finally, this model
        assumes that the hazard rate is piecewise constant on the intervals that correspond
        to the maturities of the CDS contracts.
        
        Change Log
        =========================
        
        0.0.1 (10/08/2020)
        -------------------------
        - First Release
        
        
        0.0.2 (10/10/2020)
        -------------------------
        - CDS spread calculator added. Some typos corrected.
        
        
Keywords: Credit Default Swap
Platform: UNKNOWN
Classifier: Development Status :: 5 - Production/Stable
Classifier: Intended Audience :: Financial and Insurance Industry
Classifier: Operating System :: Microsoft :: Windows :: Windows 10
Classifier: License :: OSI Approved :: MIT License
Classifier: Programming Language :: Python :: 3
