Peter, yes, definitely we should PR the changes that were ready and then continue looking into the small differences with BBG (if I recall correctly). Otherwise it going to be wasted effort even if itsn't perfect.
That should involve just setting up a new branch based on the new repo. I have the old copy I used too. Tell me if you want me to do this or you have the branch in hand.
> 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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