CDS Standard Model

Posted by alihassani on Jun 23, 2016; 1:31am
URL: http://quantlib.414.s1.nabble.com/CDS-Standard-Model-tp17559.html

Hello,

I'm pretty sure this question has been asked before, but I couldn't seem to
find it.

Has the credit default swap code been written in a such a way that if passed
the correct inputs it will match exactly the upfront to spread conversion in
the ISDA CDS Standard Model described at:

www.cdsmodel.com

?

Thank you,

Ali Hassani


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