Re: Making SpreadCdsHelper available in QuantLibXL

Posted by Bhavna J on
URL: http://quantlib.414.s1.nabble.com/Making-SpreadCdsHelper-available-in-QuantLibXL-tp7131p7140.html

Yes, the evaluation date is 12/10/2007 with
start date: 5/15/2007
end date: 5/15/2009
I do get reasonable values in qlCouponLegNPV and qlDefaultLegNPV.

Thanks,
Bhavna

On Thu, Nov 17, 2011 at 3:10 PM, Luigi Ballabio <[hidden email]> wrote:

On Thu, 2011-11-17 at 18:19 +0530, Bhavna Jhunjhunwala wrote:
> For the CDS mark to market value, can we use the function
> qlInstrumentNPV? For some reason my function returns a value of 0.
> Also, the functions qlImpliedHazardRate() and qlCdsFairSpread() return
> 0 value.
> Can someone advice in what cases this occurs? I do not see any errors
> on object creation.
>

An expired instrument? Are you setting the evaluation date correctly?

Luigi


--

The shortest way to do many things is to do only one thing at once.
-- Samuel Smiles

------------------------------------------------------------------------------
All the data continuously generated in your IT infrastructure
contains a definitive record of customers, application performance,
security threats, fraudulent activity, and more. Splunk takes this
data and makes sense of it. IT sense. And common sense.
http://p.sf.net/sfu/splunk-novd2d
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users