Re: [Quantlib-dev] CDS upfront

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

I don't understand why - if the market is quoting the upfront (as a %
notional) - we can't use this in a curve as a quote? Obviously, some work
would have to be done first to create an appropriate credit ratehelper
class.

Simon




On 6/4/08, a akpitidis <a_a...@ya...> wrote:
>
>   Hi ,
>
>
>
> The curve is always using  the real spread  (upfront+running), so, any
> bootstrapping should not deal with the upfront trades/quotes.
>
>
>
> Remember a financial institution may have a mixture of trades (upfront and
> not upfront ) for a single name(i.e. the non upfront trades booked year ago
> and the upfront trades the last few months), they have to MTM all those
> trades using the same curve.
>
>
>
>
>
>
>
> T.
>
>
> --- On *Wed, 4/6/08, Simon Ibbotson <s.i...@gm...>* wrote:
>
> From: Simon Ibbotson <s.i...@gm...>
> Subject: Re: [Quantlib-dev] CDS upfront
> To: "Luca Billi" <luc...@gm...>
> Cc: qua...@li...
> Date: Wednesday, 4 June, 2008, 8:15 AM
>
>  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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