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CDS example: price an off-par CDS in the AAD section #34

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auto-differentiation-dev merged 1 commit into from
Nov 13, 2026
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CDS example: price an off-par CDS in the AAD section #34

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6 changes: 5 additions & 1 deletion Python/examples/cds.py
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Original file line number Diff line number Diff line change
Expand Up @@ -135,16 +135,20 @@
# risk-free rate and recovery rate (used by both the bootstrap and the
# engine), the CDS's own running coupon and its nominal.
#
# The CDS here pays a running coupon of 1%, below the 2Y quoted spread, so it
# is off par: its value and every one of its sensitivities are non-zero.
#
# The inputs are `ql.Real` values registered on the tape before the curves,
# helpers and CDS are built from them. As a check, we compare with central
# differences, re-bootstrapping the curve for each bump.

from xad.adj_1st import Tape

tenor_labels = [str(tenor) for tenor in tenors]
off_par_coupon = 0.01
market_inputs = {"spread %s" % label: s for label, s in zip(tenor_labels, quoted_spreads)}
market_inputs.update({"risk-free rate": flat_rate, "recovery rate": recovery_rate,
"coupon": quoted_spreads[-1], "nominal": nominal})
"coupon": off_par_coupon, "nominal": nominal})


def cds_npv(x):
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