5Year CDS Pricing “T_CreditdefaultSwap.cs”

[Zabed]

Dear Users,

I am trying to use the QLNet version(C#) to price a CDS Contract (please see below for the Deal Information) and I tried the examples “T_CreditdefaultSwap.cs” but could not match Bloomberg results for my CDS Pricing example.

Can you please help me use the QLNet version(C#) to get similar results as I did on Bloomberg?
If you need further info or clarification, please get in touch. Your help and guidance are greatly appreciated.
Kindest Regards
Z

Example:
Inputs:
Credit Criteria: Buy 5Y CDS Contract
Notional: €10,000,000
CDS Coupon: 100 bps
Recovery Rate: 40%
Maturity: 20/12/2020
Pricing date: 31/12/2015
Day count Act/360
Freq: Quarterly
Swap rate: (used Flat 5Y rate): 0.331%
Actual Market CDS Curve:
6month 25.450
1yr 33.931
2yr 53.060
3yr 71.082
4yr 97.430
5yr 124.546
7yr 166.480
10yr 186.566

Results

Price: 98.828
Principal: 117,124
Accrued (11days) -3,0.56
Cash Amount (MtM) 114,068
SDV01 (CS01) 4,721.51
5Yr_CDS_Pricing_Example.jpg

[Luigi Ballabio]

Hello,

    I'm not sure which features are available in QL.Net.  You can try contacting the developers on the Google+ page at <https://plus.google.com/100924855000638032994>, which seems active, or on GitHub at <https://github.com/amaggiulli/qlnet>.

Luigi

On Wed, Mar 30, 2016 at 11:19 AM Zabed <[hidden email]> wrote:

Dear Users,

I am trying to use the QLNet version(C#) to price a CDS Contract (please see
below for the Deal Information) and I tried the examples
“T_CreditdefaultSwap.cs” but could not match Bloomberg results for my CDS
Pricing example.

Can you please help me use the QLNet version(C#) to get similar results as I
did on Bloomberg?
If you need further info or clarification, please get in touch. Your help
and guidance are greatly appreciated.
Kindest Regards
Z

Example:
Inputs:
Credit Criteria: Buy 5Y CDS Contract
Notional: €10,000,000
CDS Coupon: 100 bps
Recovery Rate: 40%
Maturity: 20/12/2020
Pricing date: 31/12/2015
Day count Act/360
Freq: Quarterly
Swap rate: (used Flat 5Y rate): 0.331%
Actual Market CDS Curve:
6month          25.450
1yr             33.931
2yr             53.060
3yr             71.082
4yr             97.430
5yr             124.546
7yr             166.480
10yr            186.566

Results

Price:                  98.828
Principal:              117,124
Accrued (11days)        -3,0.56
Cash Amount (MtM)       114,068
SDV01 (CS01)            4,721.51
5Yr_CDS_Pricing_Example.jpg
<http://quantlib.10058.n7.nabble.com/file/n17368/5Yr_CDS_Pricing_Example.jpg>



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[Zabed]

Hello,
Thanks for attaching the links, I will try them out as you suggested.

Kind regards
Z

[igitur]

Zabed,

I help out with the QLNet development a bit. I mainly try to keep QLNet in line with QuantLib. If you can reproduce your problem in QuantLib with C++ and get assistance here, then I will help you fix it in QLNet.

regards

Francois

On 5 April 2016 at 15:45, Luigi Ballabio <[hidden email]> wrote:

Hello,

    I'm not sure which features are available in QL.Net.  You can try contacting the developers on the Google+ page at <https://plus.google.com/100924855000638032994>, which seems active, or on GitHub at <https://github.com/amaggiulli/qlnet>.

Luigi

On Wed, Mar 30, 2016 at 11:19 AM Zabed <[hidden email]> wrote:

Dear Users,

I am trying to use the QLNet version(C#) to price a CDS Contract (please see
below for the Deal Information) and I tried the examples
“T_CreditdefaultSwap.cs” but could not match Bloomberg results for my CDS
Pricing example.

Can you please help me use the QLNet version(C#) to get similar results as I
did on Bloomberg?
If you need further info or clarification, please get in touch. Your help
and guidance are greatly appreciated.
Kindest Regards
Z

Example:
Inputs:
Credit Criteria: Buy 5Y CDS Contract
Notional: €10,000,000
CDS Coupon: 100 bps
Recovery Rate: 40%
Maturity: 20/12/2020
Pricing date: 31/12/2015
Day count Act/360
Freq: Quarterly
Swap rate: (used Flat 5Y rate): 0.331%
Actual Market CDS Curve:
6month          25.450
1yr             33.931
2yr             53.060
3yr             71.082
4yr             97.430
5yr             124.546
7yr             166.480
10yr            186.566

Results

Price:                  98.828
Principal:              117,124
Accrued (11days)        -3,0.56
Cash Amount (MtM)       114,068
SDV01 (CS01)            4,721.51
5Yr_CDS_Pricing_Example.jpg
<http://quantlib.10058.n7.nabble.com/file/n17368/5Yr_CDS_Pricing_Example.jpg>



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------------------------------------------------------------------------------
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Accelerate data analysis in your applications with
Intel Data Analytics Acceleration Library.
Click to learn more.
http://pubads.g.doubleclick.net/gampad/clk?id=278785471&iu=/4140
_______________________________________________
QuantLib-dev mailing list
[hidden email]
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