2014) and an ISDA engine as well, but somehow this project got stuck.
I think we also added the full first coupon and accrual rebate stuff.
then and send them to Luigi as a PR. And then jump into it again and
> 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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