add to CDS

python/rateslib/instruments/rates_derivatives.py

@@ -2585,3 +2585,23 @@ def cashflows(
     # Licence: Creative Commons - Attribution-NonCommercial-NoDerivatives 4.0 International
     # Commercial use of this code, and/or copying and redistribution is prohibited.
     # Contact rateslib at gmail.com if this code is observed outside its intended sphere.
+
+    def accrued(self, settlement: datetime):
+        """
+        Calculate the amount of premium accrued until a specific date within the relevant *Period*.
+
+        Parameters
+        ----------
+        settlement: datetime
+            The date against which accrued is measured.
+
+        Returns
+        -------
+        float or None
+
+        Notes
+        ------
+        If the *CDS* is unpriced, i.e. there is no specified ``fixed_rate`` then None will be
+        returned.
+        """
+        return self.leg1.accrued(settlement)

python/tests/test_instruments.py

@@ -2535,6 +2535,19 @@ def test_okane_paper(self):
         npv = cds.npv(solver=solver)
         assert abs(npv + 223516) < 670
 
+    def test_accrued(self):
+        cds = CDS(
+            dt(2022, 1, 1),
+            "6M",
+            "Q",
+            payment_lag=0,
+            currency="eur",
+            notional=1e9,
+            fixed_rate=2.0
+        )
+        result = cds.accrued(dt(2022, 2, 1))
+        assert abs(result + 0.25 * 1e9 * 0.02 * 31 / 90) < 1e-6
+
 
 class TestXCS:
     def test_mtmxcs_npv(self, curve, curve2) -> None: