netrium-0.6.0: examples/CreditDefaultSwap.contract

import Calendar
import Swaps

-- First define the underlying asset, in this example a simple zcb
underlying = zcb (date 2014 06 01) 100000000 (Currency "USD") (CashFlowType "cash")

-- CDS
-- Notional amount of $10M, 3 yearly payment at a given rate
contract = creditDefaultSwap cEvents 1000000 [date 2012 01 01, date 2013 01 01, date 2014 01 01] (Currency "USD") cpardfRate (CashFlowType "cash") (90/360) underlying
-- 2 credit events in this example:
--      - Bankruptcy, which would cause a physical settlement and a termination of the contract
--      - Failure to pay, which would cause a cash settlement of $1M but not terminate the contract
  where cEvents = [("Bankruptcy", True, 'P', 50000000, (Currency "USD"), cparbEvent1),
                   ("Failure to Pay", False, 'C', 1000000, (Currency "USD"), cparbEvent2) ]