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Command-Line Interface

wayfault ships a small CLI built on the standard-library argparse (no click/typer). CSV ingestion requires the [io] extra.

pip install 'wayfault[io]'

Usage

python -m wayfault estimate \
    --exposure cube.csv \
    --credit curve.csv \
    --model hullwhite --b 0.5 \
    --out result.json

A console entry point named wayfault is also installed:

wayfault estimate --exposure cube.csv --credit curve.csv --model copula --rho 0.6

Options

Flag Default Description
--exposure required Path to the exposure cube CSV.
--credit required Path to the credit curve CSV.
--model hullwhite independent, hullwhite, or copula.
--b 0.0 Hull-White WWR coupling.
--rho 0.0 Gaussian-copula correlation.
--recovery 0.4 Recovery rate.
--pfe-quantile 0.95 Quantile for the PFE profile.
--out (stdout) Optional JSON output path.

The result is always printed to stdout as JSON; --out additionally writes it to a file.

Input file formats

Exposure cube CSV — column headers are tenor year-fractions, each row a Monte-Carlo scenario:

0.5,1.0,1.5,2.0
1.21,1.55,1.80,2.10
0.98,1.33,1.71,1.95
...

Credit curve CSV — knot / hazard columns, one row per piecewise segment:

knot,hazard
1.0,0.02
3.0,0.03

The recovery rate is passed via --recovery (not in the file).