Posted by
japari on
URL: http://quantlib.414.s1.nabble.com/Bootstrapping-default-probabilities-tp8376p8379.html
Hi
Oliver, your right, the unadjustment is only on the last accrual date. The line
to remove of course is the test on the rule in:
[.....]
// first date not adjusted for CDS schedules
if (rule_ != DateGeneration::OldCDS /*&&
rule_ != DateGeneration::CDSIndex*/) // <<<<<<<<<<<<<<<<<<<
dates_[0] = calendar.adjust(dates_[0], convention);
for (Size i=1; i<dates_.size()-1; ++i)
dates_[i] = calendar.adjust(dates_[i], convention);
[.....]
Since the change in the standard rule is to make CDS work like the index maybe
we should change the name of the rule; "NewCDS" would eventually sound
obsolete. Any other ideas? "CreditBigBang"?, ...kidding.
Oliver, have you given a thought to the other points of the new conventions? I
havent googled what other people are doing about the 60 days lookback (forget
about succession by now) but setting up T-60 to be the P_{surv}=1 might give
unrealistic default probabilities.
Luigi, I am proposing patches to add cds index and relatives soon, but it also
contains a few minor changes that could go in 1.0 if its not too late. Aside
for the bug I filed (I also added some functionality now) theres nothing
important. The only files impacted and not in experimental would be: imm.*pp
dategenerationrule.*pp and schedule.cpp
Best regards
Pepe
Quoting leibniz777 <
[hidden email]>:
>
> 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
>
>
>
>
> 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.
>
>
> --
> View this message in context:
>
http://old.nabble.com/Bootstrapping-default-probabilities-tp26795832p26811942.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
>
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