http://quantlib.414.s1.nabble.com/Calibration-of-CDS-cpp-tp15106p15107.html
> Hello everybody,
>
> currently, I am writing my Bachelor thesis and I try to use QuantLib to
> generate realistic Credit Default Swaps. I am new to quantitative finance.
> That's why I tried to rebuild an example which I found in "Options, Futures,
> and Other Derivatives" by J. Hull, using the CDS.cpp example from
> quantlib.org. Unfortunately, up to now, I wasn't able to do so and I
> wondered if you might help me.
>
> The following values were used by Hull:
>
> Notional: 1 $
> Spread: 0.012420
> Schedule: Annual
> Yield curve: 5% LIBOR
> Recovery rate: 40%
> Duration: 5 Years
>
>
> I changed the "flatRate" to 0.05 and created "tenors" for each year
> (1*Years, ..., 5*Years). Afterwards I changed the "schedule" from quarterly to
> annual and set the "DateGeneration" to Forward. Besides some further output,
> I did not make any other changes.
>
> The resulting survival probability and discount factor are nearly as in the
> example from Hull. Moreover, the hazard rate values are ok. Unfortunately,
> the NPV, the default leg and the coupon leg are not the same as in Hull's
> example. As far as I can see, that's because of a calibration, in order to
> get the NPV to zero. Is there a chance to prevent this calibration being
> computed, so that I can see the previous NPVs' using the spread which I
> provided instead of the fair spread?
>
> Thank you in advance.
>
> Best regards,
> Patrick
>
>
>
>
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