Re: CDS upfront

Posted by Luigi Ballabio on Jun 06, 2008; 2:56pm
URL: http://quantlib.414.s1.nabble.com/CDS-upfront-tp11924p11925.html

On Tue, 2008-06-03 at 14:15 -0400, Luca Billi wrote:
> Since sometimes CDS quotes are based on upfront (price) rather then premium,
> it would be nice to have the possibility to use directly that upfront
> when bootstrapping credit curves and when pricing CDS contracts.
>
> I was wondering if anyone has thought about adding this feature or is
> willing to share any ideas.

As far as I know, nobody has worked on it yet---you're welcome to give
it a try. The ideas that people shared in this thread seem a good
starting point...

Luigi


--

All generalizations are dangerous, even this one.
-- Alexandre Dumas



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