Re: Bootstrapping default probabilities

Posted by leibniz777 on
URL: http://quantlib.414.s1.nabble.com/Bootstrapping-default-probabilities-tp8376p8378.html

Hi,

thanks for the quick answer and the files with the new "CDSIndex" rule. I have tested the rule and we now get a full coupon.

However the accrual begin date is the latest adjusted CDS date on or before T+1 calendar. The new rule gives the latest unadjusted CDS date as accrual begin date of the first coupon.

Example: if the evaluation is today (16/12/09) the accrual begin date should be using ISDA rules Monday 21/09/09. The CDSIndex rule gives Sunday 20/09/09.

Best regards


<quote author="Jose Aparicio-Navarro">

Do you mind testing if this CDX rules does what you expect please?, is part of
the stuff I am working on. I am using it for CDX and haven't feed it into the
bootstrapper. Maybe a more generic name would be better.