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ISDA-CDS Convention Change

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benedict 1

Feb 27, 2017; 8:51am

ISDA-CDS Convention Change

Hi Luigi and everyone here,

I have a question regarding CDS conventions.
Under the old convention, market players roll to a new CDS on the run contract each quarter 20 March, 20 June, 20 Sept, 20 December.

From December 2015, In the new Single-Name CDS Roll, the freqeuncy will be reduced to March and September only.

http://www2.isda.org/asset-classes/credit-derivatives/single-name-cds-roll/

ISDA - International Swaps and Derivatives Association, Inc.

www2.isda.org

Amending When Single-Name CDS Roll to New ‘On-the-Run’ Contracts

I understand that QuantLib has already factored in the dates under the old convention. Can i ask about the new Convention?
How should i correct for this?

Regards
Benedict

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japari

Feb 28, 2017; 7:20am

Re: ISDA-CDS Convention Change

Hello,
your right, that rule is not there yet.
Have a look at ql/time/dategenerationrule.xpp and ql/time/schedule.cpp. You will also have the task of giving it a third name...... "CDS_clearing_normalization" ?? <joke> Maybe you can recycle some of the other rules but CDS have all these date idiosyncrasies about the reference period.
Best
pp

Hi Luigi and everyone here,

I have a question regarding CDS conventions.
Under the old convention, market players roll to a new CDS on the run contract each quarter 20 March, 20 June, 20 Sept, 20 December.

From December 2015, In the new Single-Name CDS Roll, the freqeuncy will be reduced to March and September only.

http://www2.isda.org/asset-classes/credit-derivatives/single-name-cds-roll/

ISDA - International Swaps and Derivatives Association, Inc.

www2.isda.org

Amending When Single-Name CDS Roll to New ‘On-the-Run’ Contracts

I understand that QuantLib has already factored in the dates under the old convention. Can i ask about the new Convention?
How should i correct for this?

Regards
Benedict

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