Re: [Quantlib-dev] CDS upfront

[Luigi B. <lui...@gm...>]

On Tue, 2008-06-03 at 14:15 -0400, Luca Billi 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.

As far as I know, nobody has worked on it yet---you're welcome to give
it a try. The ideas that people shared in this thread seem a good
starting point...

Luigi


-- 

All generalizations are dangerous, even this one. 
-- Alexandre Dumas