Re: [Quantlib-dev] CDS upfront

[Simon I. <s.i...@gm...>]

Just a quick note on this (if anyone is thinking of implementing something)
- it is also quite common for a contract to be both... i.e. have an upfront
payment plus a running spread. So, incorporating a simple payment at the
front of a CDS could be the simplest way of allowing upfront prices.

Simon


On 6/3/08, Luca Billi <luc...@gm...> wrote:
>
> Since sometimes CDS quotes are based on upfront (price) rather then
> premium,
> it would be nice to have the possibility to use directly that upfront
> when bootstrapping credit curves and when pricing CDS contracts.
>
> I was wondering if anyone has thought about adding this feature or is
> willing to share any ideas.
>
> Thanks,
> Luca
>
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