Hi John,
where do you see this 'credit triangle' used in the code?
As far as I know its never used; not even for implicit hazard rate search initialization in the CDS. The engines use NPV=0
Best
Pepe
----- Original Message -----
>
> Hey Guys,
>
>
> Quick question, the fair spread is calculated via the approximation:
>
>
> s ~= pd * (1-rr)
>
>
> right?
>
>
> Just wondering why - I suppose it's just more conventional, perhaps?
> Why not use the more exact calculation?
>
>
> Not a big deal, more curious than anything else.
>
>
> John
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