Re: Fail to replicate ISDA Fair Value CDS Model

Posted by Luigi Ballabio on Jun 01, 2017; 10:34am
URL: http://quantlib.414.s1.nabble.com/Fail-to-replicate-ISDA-Fair-Value-CDS-Model-tp18310p18320.html

Hello Alan,

    as far as I can see, you're using the available classes correctly, but the existing mid-point engine doesn't implement the ISDA model exactly.  We have a pull request for that (https://github.com/lballabio/QuantLib/pull/112) which for some reason has not yet been merged on the master branch.  You can try checking the PR out and using it, but you'll have to export the new classes to Python.

Luigi

On Tue, May 30, 2017 at 4:12 AM wwd1015 <[hidden email]> wrote:

Thanks for the reply, Luigi. I have attached the modified code as the
attachment.

Alan



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