https://github.com/suhasghorp/isda_model
https://github.com/suhasghorp/isda_model
cds isda python
Last synced: 17 days ago
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- Host: GitHub
- URL: https://github.com/suhasghorp/isda_model
- Owner: suhasghorp
- License: mit
- Created: 2019-03-23T15:35:14.000Z (about 7 years ago)
- Default Branch: master
- Last Pushed: 2019-10-23T19:42:14.000Z (over 6 years ago)
- Last Synced: 2025-12-01T21:45:49.567Z (7 months ago)
- Topics: cds, isda, python
- Language: Python
- Size: 250 KB
- Stars: 3
- Watchers: 2
- Forks: 1
- Open Issues: 0
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Metadata Files:
- Readme: README.md
- License: LICENSE
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README
## Python CTypes Interface to ISDA CDS model
ISDA_Clib.dll is the x64 windows DLL built from ISDA C sources, you must use 64-bit python 3.x. See my ISDA_CLib git repo for the complete VS 2017 solution to build the dll from sources.
c_interface.py contains the ctypes function and type declarations to the functions exported from the above dll
cds_trade.py is where you define your CDS deal attributes and the par spreads for that refob for that date
isda_model.py calls functions from c_interface.py
isda_model_test.py is a one CDS test with results
market_data.py is where you enter your zero rates (deposits and swaps)
utils.py is a helper functions file