Re: z-spread

Posted by paolo baroni on
URL: http://quantlib.414.s1.nabble.com/z-spread-tp15361p15385.html

Well, in this case I'd like to price a fixed rate bond in two ways as follows:

First way, compute the discount curve from quoted bond (same issuer)

Second way, compute the discount curve from the benchmark curve and CDS spread 

What do you think?

Thanks

Paolo

2014-06-05 10:56 GMT+02:00 Luigi Ballabio <[hidden email]>:

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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>



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