Re: CDS upfront

Posted by Simon Ibbotson on Jun 04, 2008; 7:15am
URL: http://quantlib.414.s1.nabble.com/CDS-upfront-tp11924p11926.html

Just a quick note on this (if anyone is thinking of implementing something) - it is also quite common for a contract to be both... i.e. have an upfront payment plus a running spread. So, incorporating a simple payment at the front of a CDS could be the simplest way of allowing upfront prices.

 

Simon

 

On 6/3/08, Luca Billi <[hidden email]> 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.

Thanks,
Luca

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