Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/z-spread-tp15361p15384.html
It depends on what you want to do with CDS spreads. They can't be just
added to the interest rates (financially, I mean). There's some
conversion to z-spreads involved which depend on your pricing models.
Luigi
On Wed, Jun 4, 2014 at 10:03 PM, Paolo Baroni <
[hidden email]> wrote:
> Luigi, can I use the same function to manage CDS spread? Or there is a
> different way?
>
> Thanks
>
> Paolo
>
>
> 2014-06-04 12:01 GMT+02:00 Luigi Ballabio <
[hidden email]>:
>
>> Yes, use PiecewiseZeroSpreadedTermStructure instead.
>>
>> Luigi
>>
>>
>> On Wed, Jun 4, 2014 at 11:39 AM, Paolo Baroni <
[hidden email]>
>> wrote:
>> > Hi! Is there a way in the function 'ZeroSpreadedTermStructure' to pass
>> > it a
>> > z-spread as a vector (set of values for different maturities)?
>> >
>> > Thanks
>> >
>> > Paolo
>> >
>> >
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