5Year CDS Pricing “T_CreditdefaultSwap.cs”

Posted by Zabed on Mar 29, 2016; 9:45am
URL: http://quantlib.414.s1.nabble.com/5Year-CDS-Pricing-T-CreditdefaultSwap-cs-tp17368.html

Dear Users,

I am trying to use the QLNet version(C#) to price a CDS Contract (please see below for the Deal Information) and I tried the examples “T_CreditdefaultSwap.cs” but could not match Bloomberg results for my CDS Pricing example.

Can you please help me use the QLNet version(C#) to get similar results as I did on Bloomberg?
If you need further info or clarification, please get in touch. Your help and guidance are greatly appreciated.
Kindest Regards
Z

Example:
Inputs:
Credit Criteria: Buy 5Y CDS Contract
Notional: €10,000,000
CDS Coupon: 100 bps
Recovery Rate: 40%
Maturity: 20/12/2020
Pricing date: 31/12/2015
Day count Act/360
Freq: Quarterly
Swap rate: (used Flat 5Y rate): 0.331%
Actual Market CDS Curve:
6month 25.450
1yr 33.931
2yr 53.060
3yr 71.082
4yr 97.430
5yr 124.546
7yr 166.480
10yr 186.566

Results

Price: 98.828
Principal: 117,124
Accrued (11days) -3,0.56
Cash Amount (MtM) 114,068
SDV01 (CS01) 4,721.51
5Yr_CDS_Pricing_Example.jpg