Re: [Quantlib-dev] CdsHelper issues

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

Alternatively, if you set the period to be sufficiently long for the
IntegralCdsEngine, you should recover the MidpointCdsEngine. So, you could
deprecate the MidpointCdsEngine and set the default integration period to be
suitably long in the IntegralCdsEngine.

Simon


On 6/6/08, Luigi Ballabio <lui...@gm...> wrote:
>
> 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
>
>
> --
>
> Humphrey's Requirements Uncertainty Principle:
> For a new software system, the requirements will not be
> completely known until after the users have used it.
>
>
>