ISDA-CDS Convention Change
Posted by
benedict 1 on
Feb 27, 2017; 8:51am
URL: http://quantlib.414.s1.nabble.com/ISDA-CDS-Convention-Change-tp18117.html
Hi Luigi and everyone here,
I have a question regarding CDS conventions.
Under the old convention, market players roll to a new CDS on the run contract each quarter 20 March, 20 June, 20 Sept, 20 December.
From December 2015, In the new Single-Name CDS Roll, the freqeuncy will be reduced to March and September only.
http://www2.isda.org/asset-classes/credit-derivatives/single-name-cds-roll/
|
www2.isda.org
Amending When Single-Name CDS Roll to New ‘On-the-Run’ Contracts
|
I understand that QuantLib has already factored in the dates under the old convention. Can i ask about the new Convention?
How should i correct for this?
Regards
Benedict
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