Create a par style CDS.
Description
Create a par style CDS. Protection will always apply from the value date until the last payment date.
Example Sheet
CDS.xlsx
Arguments
- objectName The name of the object to be created.
- refEntity The reference entity whose default is covered by this CDS.(ReferenceEntity)
- ccy The currency of the cashflows of the premium and default legs.(Currency)
- paymentDates The payment dates on which the premium is paid.(Date)
- notionals The notionals that define the protection amount in the period until each payment date and the basis on which the premiums are calculated.
- rates The simple rates that apply until the default time. Used to calculate the premium flows.
- accrualFractions The accrual fractions used to calculate the premiums paid on the paymentDates.
- boughtProtection If set to TRUE then protection has been bought and the premium will be paid.(Boolean)