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Re: CDS Standard Model

Posted by Peter Caspers-4 on Jun 27, 2016; 6:28pm
URL: http://quantlib.414.s1.nabble.com/CDS-Standard-Model-tp17559p17569.html

Hi Ali,

I remember working with Pepe on a modernization of CDS pricing (in
2014) and an ISDA engine as well, but somehow this project got stuck.
Here are some fragments about the last period accruals for example

https://github.com/pcaspers/QuantLib/blob/CDS/ql/instruments/creditdefaultswap.hpp#L103
https://github.com/pcaspers/QuantLib/blob/CDS/ql/time/daycounters/actual360.hpp#L57

and a draft ISDA engine implementation (it doesn't work yet though)

https://github.com/pcaspers/QuantLib/blob/CDS/ql/pricingengines/credit/isdacdsengine.hpp

I think we also added the full first coupon and accrual rebate stuff.
Maybe we should at least extract the things that were ok already back
then and send them to Luigi as a PR. And then jump into it again and
finish the damn engine, what do you think Pepe?

Kind Regards
Peter


On 27 June 2016 at 07:11, Ali Hassani <[hidden email]> wrote:

> 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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