Posted by
japari on
Jun 23, 2016; 7:12am
URL: http://quantlib.414.s1.nabble.com/CDS-Standard-Model-tp17559p17560.html
Hi,
please check whether 'conventionalSpread' in creditdefaultswap.hpp line 220
https://github.com/lballabio/QuantLib/blob/v1.8.x/ql/instruments/creditdefaultswap.hpp#L189is what you are looking for.
Best
pp
----- Original Message -----
> 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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