Bootstrapping default probabilities

Posted by leibniz777 on
URL: http://quantlib.414.s1.nabble.com/Bootstrapping-default-probabilities-tp8376.html

Hi,

I have two questions/suggestions on the bootstrapping framework for credit curves.

1.) In the bootstrapping framework one has to use one of the classes SpreadCdsHelper or UpfrontCdsHelper. The pricing engine for the CDS valuation in the bootstrapping framework is set to MidPointCdsEngine in the method SpreadCdsHelper::resetEngine() resp. UpfrontCdsHelper::resetEngine(). Is there an easy way to use a different pricing engine, for example IntegralCdsEngine? If not I would suggest to extend the implementation so that the user would be able to choose the pricing engine.

2.)  The new upfront quoting mechanism suggested by ISDA assumes that the first premium coupon paid is a full coupon regardless when the start date is. When using the QuantLib CdsHelper classes one always gets the fractional coupon which depends on the start date. This is forced by the CdsHelper::initializeDates() method. Is there an easy way to use CDS in the bootstrapping algorithm that have a full first coupon? If not I would suggest to add an additional method to the CdsHelper class that can be used to set a full coupon.