Re: [Quantlib-dev] CdsHelper issues

[Neil F. <ne...@qu...>]

I would make sure that the actual date in the schedule is 20 Sep 2013,
and just have a credit specific leg helper that adds the extra day,
dependent on a flag, when the day count fraction is invoked. Is this
what you mean? The libraries I have worked with don't actually change
the date in the schedule.
 
On a related point, protection on a CDS traded on a Friday is
unadjusted, and so starts on a Saturday. Is this how things currently
work in Quantlib?
 
Thanks,
Neil
 
-----Original Message-----
From: qua...@li...
[mailto:qua...@li...] On Behalf Of Simon
Ibbotson
Sent: 30 June 2008 12:52
To: lui...@gm...
Cc: qua...@li...
Subject: Re: [Quantlib-dev] CdsHelper issues
 
Oh, I see. Well, the only issue is that most coupon-bearing instruments
use the convention "first, not last" in that they accrue the first day
of a period but not the last day. 
 
CDS have the convention "first and last", meaning that they accrue the
last day of the CDS (not each period) as well as the first day. However,
they also have default cover for the last day and the first day. 
Therefore, although the official "maturity date" for the 5Y CDS may be
20th September 2013, for the purposes of calculation (accrual and
probabilities) it is one day longer. Most quant libraries (which
normally don't include the time of day for calculations) simply extend
the last CDS period by one day - to 21st September 2013 in this case.
 


 
On 6/30/08, Luigi Ballabio <lui...@gm...> wrote: 
On Sun, 2008-06-29 at 16:25 +0100, Simon Ibbotson wrote:
> Okay - I'll write a patch to cover these issues.

Thanks--"these issues" being the start and end of the cover. As for the
20th convention, I've fixed that in the repository; you can now build
the schedule with the relevant convention (or pass the convention to the
CDS helper.) You might want to check my implementation to see that it
works correctly.

Luigi


> On 6/27/08, Luigi Ballabio <lui...@gm...> wrote:
> > Simon,
> >     as for this one:
> >
> > On Fri, 2008-06-06 at 14:12 +0100, Simon Ibbotson wrote:
> >> 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'm not sure I follow. May you write a patch for this?
> >
> > Luigi
> >
> >
> > --
> >
> > Zawinski's Law:
> > Every program attempts to expand until it can read mail. Those
> > programs which cannot so expand are replaced by ones which can.
> >
> >
> >
>

--

A little inaccuracy sometimes saves tons of explanation.
-- H.H. Munro, "Saki"