Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Making-SpreadCdsHelper-available-in-QuantLibXL-tp7131p7144.html
On Thu, 2011-09-15 at 02:26 -0700, Bhavna J wrote:
> Is there a way to view the CDS cashflows in quantlib? For example when
> pricing a 2 year CDS with semiannual payment frequency, if I want to view
> the cashflows and hazard rates etc every 6 months, is there any function
> available for that currently?
In C++, you can use the CreditDefaultSwap::coupons() method to extract
the cashflows as a vector of CashFlow objects; you can then ask each of
them for its date and amount. Once you have the dates, you can retrieve
the hazard rates from the default-probability curve you used to price
the CDS.
If we're talking about QuantLibXL instead, I'm not sure that the methods
above are all exposed. You might have to do it before you can use them.
Luigi
--
The doctrine of human equality reposes on this: that there is no man
really clever who has not found that he is stupid.
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