Re: ISDA-CDS Convention Change

Posted by japari on Feb 28, 2017; 7:20am
URL: http://quantlib.414.s1.nabble.com/ISDA-CDS-Convention-Change-tp18117p18122.html

Hello,
your right, that rule is not there yet.
Have a look at ql/time/dategenerationrule.xpp and ql/time/schedule.cpp.  You will also have the task of giving it a third name...... "CDS_clearing_normalization" ??  <joke> Maybe you can recycle some of the other rules but CDS have all these date idiosyncrasies about the reference period.
Best
pp

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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/

ISDA - International Swaps and Derivatives Association, Inc. 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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