Basic CEG Example

Contract Definition

import pandas as pd
from awesome_actus_lib import CEG, PublicActusService

contract = CEG(
    contractID="guarantee01",
    contractRole="BUY",
    guaranteedExposure="NO",
    contractStructure=[{'object': {'contractIdentifier': 'US91282XYZ01'}, 'referenceType': 'CID', 'referenceRole': 'COVE'}],
    currency="USD",
    calendar="NC",
    contractDealDate="2020-01-01T00:00:00",
    statusDate="2020-01-01T00:00:00",
    purchaseDate="2020-01-02T00:00:00",
    priceAtPurchaseDate=10,
    maturityDate="2020-12-31T00:00:00",
    notionalPrincipal=1000000,
    creditEventTypeCovered="DF",
    settlementPeriod="P0D",
    creatorID="Creator-01",
    counterpartyID="Counterparty-01"
)

service = PublicActusService()
event_stream = service.generateEvents(portfolio=contract, riskFactors=[])
print(event_stream.events_df)

Generated Events

type	time	payoff	currency	nominalValue	nominalRate	nominalAccrued	contractId
PRD	2020-01-02T00:00	-10	USD	1e+06	0	0	guarantee01
MD	2020-12-31T00:00	0	USD	0	0	0	guarantee01