Posted by
alihassani on
Jun 27, 2016; 4:02am
URL: http://quantlib.414.s1.nabble.com/CDS-Standard-Model-tp17559p17566.html
I'm still working through it but so far I see the following potential issue:
1.) It looks like the maturity date of the CreditDefaultSwap instrument
doesn't include the maturity date as an accrual date (and perhaps the
CdsHelper's which calculate the hazard rate internally have this issue as
well). The ISDA standard model specifies that the last accrual period includes
the maturity date.
I am unable to modify the termination date business convention in the schedule
inputted in to the CreditDefaultSwap instrument to anything other than
Unadjusted or it will not back out the same prices used in the cds helpers
inputted to generate the hazard rates. I am using the Following business day
convention in the helpers.
2.) The swig interface files need to be updated so that the CreditDefaultSwap
constructor can take the upfrontDate from the user.
3.) I don't believe the creditdefaultswap instruments have any functionality
to support the payment of accrued from the accrual start date. I need to think
a bit more if this has any impact on QuantLib pricing vs market convention.
Best,
Ali
On Thursday, June 23, 2016 10:21:30 AM EDT
[hidden email] wrote:
> Hi,
> please check whether 'conventionalSpread' in creditdefaultswap.hpp line 220
>
>
https://github.com/lballabio/QuantLib/blob/v1.8.x/ql/instruments/creditdefau> ltswap.hpp#L189
>
> is 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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