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CK TUNG

Credit spread

Hi,

Just want to know if there is any example to calculate credit spread using quantlib ?

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japari

Re: Credit spread

Hi,
assuming you are looking for CDS spreads you can look into Examples/CDS
Best
pp

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

> Hi,
>
> Just want to know if there is any example to calculate credit spread
> using quantlib ?
>
>
> ------------------------------------------------------------------------------
> What NetFlow Analyzer can do for you? Monitors network bandwidth and
> traffic
> patterns at an interface-level. Reveals which users, apps, and
> protocols are
> consuming the most bandwidth. Provides multi-vendor support for
> NetFlow,
> J-Flow, sFlow and other flows. Make informed decisions using capacity
> planning
> reports.http://sdm.link/zohodev2dev
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

------------------------------------------------------------------------------
What NetFlow Analyzer can do for you? Monitors network bandwidth and traffic
patterns at an interface-level. Reveals which users, apps, and protocols are
consuming the most bandwidth. Provides multi-vendor support for NetFlow,
J-Flow, sFlow and other flows. Make informed decisions using capacity planning
reports.http://sdm.link/zohodev2dev
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

CK TUNG

Re: Credit spread

In fact what I need is an quantlib example on how to decompose a credit spread curve from corporate bond curve like this graph attached

> [hidden email] 於 18 Jul 2016 3:25 PM 寫道：
>
> Hi,
> assuming you are looking for CDS spreads you can look into Examples/CDS
> Best
> pp
>
> ----- Original Message -----
>> Hi,
>>
>> Just want to know if there is any example to calculate credit spread
>> using quantlib ?
>>
>>
>> ------------------------------------------------------------------------------
>> What NetFlow Analyzer can do for you? Monitors network bandwidth and
>> traffic
>> patterns at an interface-level. Reveals which users, apps, and
>> protocols are
>> consuming the most bandwidth. Provides multi-vendor support for
>> NetFlow,
>> J-Flow, sFlow and other flows. Make informed decisions using capacity
>> planning
>> reports.http://sdm.link/zohodev2dev
>> _______________________________________________
>> QuantLib-users mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>

image1.GIF (10K) Download Attachment

japari

Re: Credit spread

Hi, I see
Theres a similar exercise in a wsheet I wrote; RiskyBonds. There you see the Z spread being used as a yield differential.
Have a look into the risky bond methods and price your corporate (and possibly your gov too) using your reference risk free curve and a credit curve you consider relevant. With that price you can work out your Z spread or other preferred rate/differential, use the parents bond methods for this.
That sheet only deals with fixed rate bonds but it is relatively easy to extend it to floaters. Just use the appropiate riskybond.
Risky bonds 'price themselves' contrary to other instruments in the lib; changin that would be a good idea; by the time being just keep it in mind.
Best
pp

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

> In fact what I need is an quantlib example on how to decompose a
> credit spread curve from corporate bond curve like this graph
> attached
>
>
>
> [image/gif:image1.GIF]
>
>
>
>
> > [hidden email] 於 18 Jul 2016 3:25 PM 寫道：
> >
> > Hi,
> > assuming you are looking for CDS spreads you can look into
> > Examples/CDS
> > Best
> > pp
> >
> > ----- Original Message -----
> >> Hi,
> >>
> >> Just want to know if there is any example to calculate credit
> >> spread
> >> using quantlib ?
> >>
> >>
> >> ------------------------------------------------------------------------------
> >> What NetFlow Analyzer can do for you? Monitors network bandwidth
> >> and
> >> traffic
> >> patterns at an interface-level. Reveals which users, apps, and
> >> protocols are
> >> consuming the most bandwidth. Provides multi-vendor support for
> >> NetFlow,
> >> J-Flow, sFlow and other flows. Make informed decisions using
> >> capacity
> >> planning
> >> reports.http://sdm.link/zohodev2dev
> >> _______________________________________________
> >> QuantLib-users mailing list
> >> [hidden email]
> >> https://lists.sourceforge.net/lists/listinfo/quantlib-users
> >>
>