[Quantlib-dev] [ quantlib-Patches-2925351 ] CDX

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Patches item #2925351, was opened at 2010-01-03 21:51
Message generated for change (Tracker Item Submitted) made by japaricio
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Aparicio-Navarro Jose (japaricio)
Assigned to: Nobody/Anonymous (nobody)
Summary: CDX

Initial Comment:
Trash for the iTraxx,
I am sending an example in the CDX.cpp file. It covers the flat engine and the options. To test the intrinsic engine, compute basis etc I use a worksheet add-in because the amount of data is quite large; spread curves, default status, settlement data etc...

The option engine now owns the underlying swap. I have done this for two reasons, one is to make sure that the prob curve used to price the swap and the option are the same. Also because an outside swap was forcing me to make copies of the swap in the engines calculate to be exception safe (I could break an outside set up engine). Might be nice to change the CDS option in a similar way (but there for the first reason only).

I went for a very flexible index. For instance; the intrinsic spread can be computed at a forward date. This can be of some use (e.g. options) but keeps the code from using Lazyness to cache the intrinsic and average spreads. The index could have done without owning a schedule if they could only be constructed with the standard conventions and rule. This is comented in the code.

I have not updated the makefiles with the new files.
The code in the issuer and defaultType patches supersedes the fix I sent for Bug 2883169.

Best regards and a very happy 2010 to all of you.
Pepe

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