[Quantlib-dev] CdsHelper issues

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

Hi guys,

Just a few warnings about the CdsHelper class.

The standard market convention for CDS is that the default cover (and
accrual) starts on the day after the valuation date - regardless of whether
the start day is a holiday/weekend or not... currently the CdsHelper class
counts only working days as valid.

 Also, if a tenor is quoted, this invariably runs to the 20th of the next
IMM month (roll convention of Following) or 20th of the month (Emerging
Markets). So a 5Y CDS quoted now would finish on the 20th June 2013.
Currently CdsHelper class would have it finishing on the 10th June 2013.

In addition, if you strip the curve using the MidPointCdsEngine (which is
specified in the CdsHelper class) but price a CDS using the
IntegralCdsEngine you don't recover the par-rates.


Regards,

Simon