[Quantlib-users] CDS valuation with Amortising Notionals in QuantLib-Python

[Quant <qua...@gm...>]

Hi QuantLib Users,

I am valuing a CDS with Amortising Notionals in Quantlib-Python (i.e., the
CDS is hedging an Amortising Loan) which means the notional used to
calculate the CDS are different for each year.

It seems like ql.CreditDefaultSwap() does not take more than one notional
as shown below:

notional = [790000, 632000, 474000, 316000, 158000]
cds = ql.CreditDefaultSwap(ql.Protection.Buyer, notional, cds_spread,
schedule, ql.Following, day_count)

How can I adjust my code so that ql.CreditDefaultSwap() can take a list of
Amortising Notionals.

Thanks & regards,
Nk