Credit

Vade's credit analytics cover bond pricing and risk, credit default swaps, credit curve construction, and spread analysis. Compute settlement-aware bond measures, price CDS contracts, fit parametric curves to bond portfolios, and decompose yield into spread components.

What's Covered

• Bonds -- FixedRateBond with clean/dirty price, yield to maturity, duration, convexity, and Z-spread
• Bond variants -- CallableBond (Hull-White tree pricing with OAS), ZeroCouponBond, Bill, AmortizingBond, StepUpBond, PIKBond, CappedFloatRateNote, FloatRateNote
• Credit derivatives -- CDS (credit default swap) pricing and risk
• Credit curves -- CreditImpliedCurve for hazard rate bootstrapping from CDS spreads
• Fitted curves -- FittedBondCurve with NelsonSiegel, NelsonSiegelSvensson, and SmithWilson models
• Spread analysis -- SpreadCurve, AssetSwap, I-spread, Z-spread, OAS decomposition

Key Concepts

• Credit spread -- the yield premium a bond pays over the risk-free curve, compensating for default risk
• Hazard rate -- the instantaneous conditional probability of default, implied from CDS market spreads
• Recovery rate -- the fraction of notional recovered after a credit event, typically 40% for senior unsecured
• Z-spread -- the constant spread added to the risk-free curve that reprices a bond to its market price
• OAS -- option-adjusted spread; the Z-spread net of any embedded optionality (call, put)
• Duration -- the sensitivity of a bond's price to a parallel shift in yield (modified or Macaulay)
• Convexity -- the second-order sensitivity of price to yield; measures curvature of the price-yield relationship
• Asset swap spread -- the spread over the floating index that equates a bond's cashflows to par in a swap structure

Quick Taste

bond = FixedRateBond(effective=effective, termination="5y", coupon=0.045, frequency="s", convention="actactisda")
dirty = float(bond.dirty_price(calibrated, settlement=effective))
# A bond priced above par has a coupon exceeding the prevailing yield
assert dirty > 100.0

Guides

• Credit Curves & CDS -- Credit curve bootstrapping and CDS pricing
• Bonds -- Settlement-aware bond analytics, duration, convexity, and spread measures
• Callable Bonds -- Hull-White trinomial tree pricing with OAS and effective risk measures
• Fitted Curves -- Parametric curve fitting to bond portfolios via nonlinear least-squares
• Spread Analytics -- Interpolated swap spreads (I-spread) and asset swap analysis

API Reference

• Curves -- CreditImpliedCurve, FittedBondCurve, SpreadCurve
• Instruments -- FixedRateBond, CDS, CallableBond, ZeroCouponBond, Bill, AmortizingBond, StepUpBond, PIKBond, CappedFloatRateNote, FloatRateNote, AssetSwap