Posted by
japari on
URL: http://quantlib.414.s1.nabble.com/Bootstrapping-default-probabilities-tp8376p8386.html
Hi,
on your first point; yes that would be nice. Thought of templates but the
initialization is a problem unless all engines have a 'setup' method. Other
people here know loads more on this.
I guess the helpers should always own the engine but in general I am short of
ideas.
On the second point; that is delegated to the rule. They were modified recently
for this, but for the old rule. A new rule might be needed, I am about to send
a CDX rule which matches what you mention.
Damn! there it goes my New Years surprise...
Best regards
Pepe
Quoting leibniz777 <
[hidden email]>:
>
> 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.
> --
> View this message in context:
>
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