Re: [Quantlib-dev] CdsHelper issues

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

On Fri, 2008-06-06 at 14:12 +0100, Simon Ibbotson wrote:
> 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.

I wasn't aware of this--thanks for the info.
 
> 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.

This goes together with the IMM schedule I mentioned in a recent post.
I'll try and fix it before release.

 
> 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.

True. I'll have to add a warning to this effect to the docs.

Thanks,
	Luigi


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