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alihassani

CDS Standard Model

Hello,

I'm pretty sure this question has been asked before, but I couldn't seem to
find it.

Has the credit default swap code been written in a such a way that if passed
the correct inputs it will match exactly the upfront to spread conversion in
the ISDA CDS Standard Model described at:

www.cdsmodel.com

?

Thank you,

Ali Hassani

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japari

Re: CDS Standard Model

Hi,
please check whether 'conventionalSpread' in creditdefaultswap.hpp line 220

https://github.com/lballabio/QuantLib/blob/v1.8.x/ql/instruments/creditdefaultswap.hpp#L189

is what you are looking for.

Best
pp

----- Original Message -----

> Hello,
>
> I'm pretty sure this question has been asked before, but I couldn't
> seem to
> find it.
>
> Has the credit default swap code been written in a such a way that if
> passed
> the correct inputs it will match exactly the upfront to spread
> conversion in
> the ISDA CDS Standard Model described at:
>
> www.cdsmodel.com
>
> ?
>
> Thank you,
>
> Ali Hassani
>
>
> ------------------------------------------------------------------------------
> Attend Shape: An AT&T Tech Expo July 15-16. Meet us at AT&T Park in
> San
> Francisco, CA to explore cutting-edge tech and listen to tech
> luminaries
> present their vision of the future. This family event has something
> for
> everyone, including kids. Get more information and register today.
> http://sdm.link/attshape
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

------------------------------------------------------------------------------
Attend Shape: An AT&T Tech Expo July 15-16. Meet us at AT&T Park in San
Francisco, CA to explore cutting-edge tech and listen to tech luminaries
present their vision of the future. This family event has something for
everyone, including kids. Get more information and register today.
http://sdm.link/attshape
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alihassani

Re: CDS Standard Model

I'm still working through it but so far I see the following potential issue:

1.) It looks like the maturity date of the CreditDefaultSwap instrument
doesn't include the maturity date as an accrual date (and perhaps the
CdsHelper's which calculate the hazard rate internally have this issue as
well). The ISDA standard model specifies that the last accrual period includes
the maturity date.

I am unable to modify the termination date business convention in the schedule
inputted in to the CreditDefaultSwap instrument to anything other than
Unadjusted or it will not back out the same prices used in the cds helpers
inputted to generate the hazard rates. I am using the Following business day
convention in the helpers.

2.) The swig interface files need to be updated so that the CreditDefaultSwap
constructor can take the upfrontDate from the user.

3.) I don't believe the creditdefaultswap instruments have any functionality
to support the payment of accrued from the accrual start date. I need to think
a bit more if this has any impact on QuantLib pricing vs market convention.

Best,

Ali

On Thursday, June 23, 2016 10:21:30 AM EDT [hidden email] wrote:

> Hi,
> please check whether 'conventionalSpread' in creditdefaultswap.hpp line 220
>
> https://github.com/lballabio/QuantLib/blob/v1.8.x/ql/instruments/creditdefau
> ltswap.hpp#L189
>
> is what you are looking for.
>
> Best
> pp
>
>
> ----- Original Message -----
>
> > Hello,
> >
> > I'm pretty sure this question has been asked before, but I couldn't
> > seem to
> > find it.
> >
> > Has the credit default swap code been written in a such a way that if
> > passed
> > the correct inputs it will match exactly the upfront to spread
> > conversion in
> > the ISDA CDS Standard Model described at:
> >
> > www.cdsmodel.com
> >
> > ?
> >
> > Thank you,
> >
> > Ali Hassani
> >
> >
> > --------------------------------------------------------------------------
> > ---- Attend Shape: An AT&T Tech Expo July 15-16. Meet us at AT&T Park in
> > San
> > Francisco, CA to explore cutting-edge tech and listen to tech
> > luminaries
> > present their vision of the future. This family event has something
> > for
> > everyone, including kids. Get more information and register today.
> > http://sdm.link/attshape
> > _______________________________________________
> > QuantLib-users mailing list
> > [hidden email]
> > https://lists.sourceforge.net/lists/listinfo/quantlib-users

Peter Caspers-4

Re: CDS Standard Model

Hi Ali,

I remember working with Pepe on a modernization of CDS pricing (in
2014) and an ISDA engine as well, but somehow this project got stuck.
Here are some fragments about the last period accruals for example

https://github.com/pcaspers/QuantLib/blob/CDS/ql/instruments/creditdefaultswap.hpp#L103
https://github.com/pcaspers/QuantLib/blob/CDS/ql/time/daycounters/actual360.hpp#L57

and a draft ISDA engine implementation (it doesn't work yet though)

https://github.com/pcaspers/QuantLib/blob/CDS/ql/pricingengines/credit/isdacdsengine.hpp

I think we also added the full first coupon and accrual rebate stuff.
Maybe we should at least extract the things that were ok already back
then and send them to Luigi as a PR. And then jump into it again and
finish the damn engine, what do you think Pepe?

Kind Regards
Peter

On 27 June 2016 at 07:11, Ali Hassani <[hidden email]> wrote:

> I'm still working through it but so far I see the following potential issue:
>
> 1.) It looks like the maturity date of the CreditDefaultSwap instrument
> doesn't include the maturity date as an accrual date (and perhaps the
> CdsHelper's which calculate the hazard rate internally have this issue as
> well). The ISDA standard model specifies that the last accrual period includes
> the maturity date.
>
> I am unable to modify the termination date business convention in the schedule
> inputted in to the CreditDefaultSwap instrument to anything other than
> Unadjusted or it will not back out the same prices used in the cds helpers
> inputted to generate the hazard rates. I am using the Following business day
> convention in the helpers.
>
> 2.) The swig interface files need to be updated so that the CreditDefaultSwap
> constructor can take the upfrontDate from the user.
>
> 3.) I don't believe the creditdefaultswap instruments have any functionality
> to support the payment of accrued from the accrual start date. I need to think
> a bit more if this has any impact on QuantLib pricing vs market convention.
>
> Best,
>
> Ali
>
> On Thursday, June 23, 2016 10:21:30 AM EDT [hidden email] wrote:
>> Hi,
>> please check whether 'conventionalSpread' in creditdefaultswap.hpp line 220
>>
>> https://github.com/lballabio/QuantLib/blob/v1.8.x/ql/instruments/creditdefau
>> ltswap.hpp#L189
>>
>> is what you are looking for.
>>
>> Best
>> pp
>>
>>
>> ----- Original Message -----
>>
>> > Hello,
>> >
>> > I'm pretty sure this question has been asked before, but I couldn't
>> > seem to
>> > find it.
>> >
>> > Has the credit default swap code been written in a such a way that if
>> > passed
>> > the correct inputs it will match exactly the upfront to spread
>> > conversion in
>> > the ISDA CDS Standard Model described at:
>> >
>> > www.cdsmodel.com
>> >
>> > ?
>> >
>> > Thank you,
>> >
>> > Ali Hassani
>> >
>> >
>> > --------------------------------------------------------------------------
>> > ---- Attend Shape: An AT&T Tech Expo July 15-16. Meet us at AT&T Park in
>> > San
>> > Francisco, CA to explore cutting-edge tech and listen to tech
>> > luminaries
>> > present their vision of the future. This family event has something
>> > for
>> > everyone, including kids. Get more information and register today.
>> > http://sdm.link/attshape
>> > _______________________________________________
>> > QuantLib-users mailing list
>> > [hidden email]
>> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
> ------------------------------------------------------------------------------
> Attend Shape: An AT&T Tech Expo July 15-16. Meet us at AT&T Park in San
> Francisco, CA to explore cutting-edge tech and listen to tech luminaries
> present their vision of the future. This family event has something for
> everyone, including kids. Get more information and register today.
> http://sdm.link/attshape
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

japari

Re: CDS Standard Model

Hi all,

Peter, yes, definitely we should PR the changes that were ready and then continue looking into the small differences with BBG (if I recall correctly). Otherwise it going to be wasted effort even if itsn't perfect.
That should involve just setting up a new branch based on the new repo. I have the old copy I used too. Tell me if you want me to do this or you have the branch in hand.

Best
pp

----- Original Message -----

> Hi Ali,
>
> I remember working with Pepe on a modernization of CDS pricing (in
> 2014) and an ISDA engine as well, but somehow this project got stuck.
> Here are some fragments about the last period accruals for example
>
> https://github.com/pcaspers/QuantLib/blob/CDS/ql/instruments/creditdefaultswap.hpp#L103
> https://github.com/pcaspers/QuantLib/blob/CDS/ql/time/daycounters/actual360.hpp#L57
>
> and a draft ISDA engine implementation (it doesn't work yet though)
>
> https://github.com/pcaspers/QuantLib/blob/CDS/ql/pricingengines/credit/isdacdsengine.hpp
>
> I think we also added the full first coupon and accrual rebate stuff.
> Maybe we should at least extract the things that were ok already back
> then and send them to Luigi as a PR. And then jump into it again and
> finish the damn engine, what do you think Pepe?
>
> Kind Regards
> Peter
>
>
> On 27 June 2016 at 07:11, Ali Hassani <[hidden email]> wrote:
> > I'm still working through it but so far I see the following
> > potential issue:
> >
> > 1.) It looks like the maturity date of the CreditDefaultSwap
> > instrument
> > doesn't include the maturity date as an accrual date (and perhaps
> > the
> > CdsHelper's which calculate the hazard rate internally have this
> > issue as
> > well). The ISDA standard model specifies that the last accrual
> > period includes
> > the maturity date.
> >
> > I am unable to modify the termination date business convention in
> > the schedule
> > inputted in to the CreditDefaultSwap instrument to anything other
> > than
> > Unadjusted or it will not back out the same prices used in the cds
> > helpers
> > inputted to generate the hazard rates. I am using the Following
> > business day
> > convention in the helpers.
> >
> > 2.) The swig interface files need to be updated so that the
> > CreditDefaultSwap
> > constructor can take the upfrontDate from the user.
> >
> > 3.) I don't believe the creditdefaultswap instruments have any
> > functionality
> > to support the payment of accrued from the accrual start date. I
> > need to think
> > a bit more if this has any impact on QuantLib pricing vs market
> > convention.
> >
> > Best,
> >
> > Ali
> >
> > On Thursday, June 23, 2016 10:21:30 AM EDT [hidden email] wrote:
> >> Hi,
> >> please check whether 'conventionalSpread' in creditdefaultswap.hpp
> >> line 220
> >>
> >> https://github.com/lballabio/QuantLib/blob/v1.8.x/ql/instruments/creditdefau
> >> ltswap.hpp#L189
> >>
> >> is what you are looking for.
> >>
> >> Best
> >> pp
> >>
> >>
> >> ----- Original Message -----
> >>
> >> > Hello,
> >> >
> >> > I'm pretty sure this question has been asked before, but I
> >> > couldn't
> >> > seem to
> >> > find it.
> >> >
> >> > Has the credit default swap code been written in a such a way
> >> > that if
> >> > passed
> >> > the correct inputs it will match exactly the upfront to spread
> >> > conversion in
> >> > the ISDA CDS Standard Model described at:
> >> >
> >> > www.cdsmodel.com
> >> >
> >> > ?
> >> >
> >> > Thank you,
> >> >
> >> > Ali Hassani
> >> >
> >> >
> >> > --------------------------------------------------------------------------
> >> > ---- Attend Shape: An AT&T Tech Expo July 15-16. Meet us at AT&T
> >> > Park in
> >> > San
> >> > Francisco, CA to explore cutting-edge tech and listen to tech
> >> > luminaries
> >> > present their vision of the future. This family event has
> >> > something
> >> > for
> >> > everyone, including kids. Get more information and register
> >> > today.
> >> > http://sdm.link/attshape
> >> > _______________________________________________
> >> > QuantLib-users mailing list
> >> > [hidden email]
> >> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
> >
> > ------------------------------------------------------------------------------
> > Attend Shape: An AT&T Tech Expo July 15-16. Meet us at AT&T Park in
> > San
> > Francisco, CA to explore cutting-edge tech and listen to tech
> > luminaries
> > present their vision of the future. This family event has something
> > for
> > everyone, including kids. Get more information and register today.
> > http://sdm.link/attshape
> > _______________________________________________
> > QuantLib-users mailing list
> > [hidden email]
> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Peter Caspers-4

Re: CDS Standard Model

Ok, great, then we have a plan (still have my version of our dev
branch, I migrated it to the new repo structure, so all is fine).
Peter

On 28 June 2016 at 09:11, <[hidden email]> wrote:

> Hi all,
>
> Peter, yes, definitely we should PR the changes that were ready and then continue looking into the small differences with BBG (if I recall correctly). Otherwise it going to be wasted effort even if itsn't perfect.
> That should involve just setting up a new branch based on the new repo. I have the old copy I used too. Tell me if you want me to do this or you have the branch in hand.
>
> Best
> pp
>
>
>
> ----- Original Message -----
>> Hi Ali,
>>
>> I remember working with Pepe on a modernization of CDS pricing (in
>> 2014) and an ISDA engine as well, but somehow this project got stuck.
>> Here are some fragments about the last period accruals for example
>>
>> https://github.com/pcaspers/QuantLib/blob/CDS/ql/instruments/creditdefaultswap.hpp#L103
>> https://github.com/pcaspers/QuantLib/blob/CDS/ql/time/daycounters/actual360.hpp#L57
>>
>> and a draft ISDA engine implementation (it doesn't work yet though)
>>
>> https://github.com/pcaspers/QuantLib/blob/CDS/ql/pricingengines/credit/isdacdsengine.hpp
>>
>> I think we also added the full first coupon and accrual rebate stuff.
>> Maybe we should at least extract the things that were ok already back
>> then and send them to Luigi as a PR. And then jump into it again and
>> finish the damn engine, what do you think Pepe?
>>
>> Kind Regards
>> Peter
>>
>>
>> On 27 June 2016 at 07:11, Ali Hassani <[hidden email]> wrote:
>> > I'm still working through it but so far I see the following
>> > potential issue:
>> >
>> > 1.) It looks like the maturity date of the CreditDefaultSwap
>> > instrument
>> > doesn't include the maturity date as an accrual date (and perhaps
>> > the
>> > CdsHelper's which calculate the hazard rate internally have this
>> > issue as
>> > well). The ISDA standard model specifies that the last accrual
>> > period includes
>> > the maturity date.
>> >
>> > I am unable to modify the termination date business convention in
>> > the schedule
>> > inputted in to the CreditDefaultSwap instrument to anything other
>> > than
>> > Unadjusted or it will not back out the same prices used in the cds
>> > helpers
>> > inputted to generate the hazard rates. I am using the Following
>> > business day
>> > convention in the helpers.
>> >
>> > 2.) The swig interface files need to be updated so that the
>> > CreditDefaultSwap
>> > constructor can take the upfrontDate from the user.
>> >
>> > 3.) I don't believe the creditdefaultswap instruments have any
>> > functionality
>> > to support the payment of accrued from the accrual start date. I
>> > need to think
>> > a bit more if this has any impact on QuantLib pricing vs market
>> > convention.
>> >
>> > Best,
>> >
>> > Ali
>> >
>> > On Thursday, June 23, 2016 10:21:30 AM EDT [hidden email] wrote:
>> >> Hi,
>> >> please check whether 'conventionalSpread' in creditdefaultswap.hpp
>> >> line 220
>> >>
>> >> https://github.com/lballabio/QuantLib/blob/v1.8.x/ql/instruments/creditdefau
>> >> ltswap.hpp#L189
>> >>
>> >> is what you are looking for.
>> >>
>> >> Best
>> >> pp
>> >>
>> >>
>> >> ----- Original Message -----
>> >>
>> >> > Hello,
>> >> >
>> >> > I'm pretty sure this question has been asked before, but I
>> >> > couldn't
>> >> > seem to
>> >> > find it.
>> >> >
>> >> > Has the credit default swap code been written in a such a way
>> >> > that if
>> >> > passed
>> >> > the correct inputs it will match exactly the upfront to spread
>> >> > conversion in
>> >> > the ISDA CDS Standard Model described at:
>> >> >
>> >> > www.cdsmodel.com
>> >> >
>> >> > ?
>> >> >
>> >> > Thank you,
>> >> >
>> >> > Ali Hassani
>> >> >
>> >> >
>> >> > --------------------------------------------------------------------------
>> >> > ---- Attend Shape: An AT&T Tech Expo July 15-16. Meet us at AT&T
>> >> > Park in
>> >> > San
>> >> > Francisco, CA to explore cutting-edge tech and listen to tech
>> >> > luminaries
>> >> > present their vision of the future. This family event has
>> >> > something
>> >> > for
>> >> > everyone, including kids. Get more information and register
>> >> > today.
>> >> > http://sdm.link/attshape
>> >> > _______________________________________________
>> >> > QuantLib-users mailing list
>> >> > [hidden email]
>> >> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
>> >
>> > ------------------------------------------------------------------------------
>> > Attend Shape: An AT&T Tech Expo July 15-16. Meet us at AT&T Park in
>> > San
>> > Francisco, CA to explore cutting-edge tech and listen to tech
>> > luminaries
>> > present their vision of the future. This family event has something
>> > for
>> > everyone, including kids. Get more information and register today.
>> > http://sdm.link/attshape
>> > _______________________________________________
>> > QuantLib-users mailing list
>> > [hidden email]
>> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>