Re: Bootstrapping default probabilities

Posted by leibniz777 on
URL: http://quantlib.414.s1.nabble.com/Bootstrapping-default-probabilities-tp8376p8383.html

Hi Pepe,

of course all works fine after removing the test on the rule.

In the ISDA converter specification they use T+1 as protection effective date. I'm not sure that I understand the rule T - 60. What does this exactly mean that a credit event occured before trade date?


Best regards
Oliver


<quote author="Jose Aparicio-Navarro">
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.


</quote>