> Hi all,
>
> 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.
>
> Best
> pp
>
>
>
> ----- Original Message -----
>> 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
>> >> >
>> >> >
>> >> > --------------------------------------------------------------------------
>> >> > ---- Attend Shape: An AT&T Tech Expo July 15-16. Meet us at AT&T
>> >> > Park in
>> >> > San
>> >> > Francisco, CA to explore cutting-edge tech and listen to tech
>> >> > luminaries
>> >> > present their vision of the future. This family event has
>> >> > something
>> >> > for
>> >> > everyone, including kids. Get more information and register
>> >> > today.
>> >> >
http://sdm.link/attshape>> >> > _______________________________________________
>> >> > QuantLib-users mailing list
>> >> >
[hidden email]
>> >> >
https://lists.sourceforge.net/lists/listinfo/quantlib-users>> >
>> > ------------------------------------------------------------------------------
>> > Attend Shape: An AT&T Tech Expo July 15-16. Meet us at AT&T Park in
>> > San
>> > Francisco, CA to explore cutting-edge tech and listen to tech
>> > luminaries
>> > present their vision of the future. This family event has something
>> > for
>> > everyone, including kids. Get more information and register today.
>> >
http://sdm.link/attshape>> > _______________________________________________
>> > QuantLib-users mailing list
>> >
[hidden email]
>> >
https://lists.sourceforge.net/lists/listinfo/quantlib-users>>
Attend Shape: An AT&T Tech Expo July 15-16. Meet us at AT&T Park in San
present their vision of the future. This family event has something for
everyone, including kids. Get more information and register today.