[Quantlib-dev] 5Year CDS Pricing “T_CreditdefaultSwap.cs”

[Zabed <zah...@ho...>]

Dear Users,

I am trying to use the QLNet version(C#) to price a CDS Contract (please see
below for the Deal Information) and I tried the examples
“T_CreditdefaultSwap.cs” but could not match Bloomberg results for my CDS
Pricing example.

Can you please help me use the QLNet version(C#) to get similar results as I
did on Bloomberg? 
If you need further info or clarification, please get in touch. Your help
and guidance are greatly appreciated.
Kindest Regards
Z

Example:
Inputs:
Credit Criteria: Buy 5Y CDS Contract
Notional: €10,000,000
CDS Coupon: 100 bps
Recovery Rate: 40%
Maturity: 20/12/2020
Pricing date: 31/12/2015
Day count Act/360
Freq: Quarterly
Swap rate: (used Flat 5Y rate): 0.331%
Actual Market CDS Curve:
6month		25.450
1yr		33.931
2yr		53.060
3yr		71.082
4yr		97.430
5yr		124.546
7yr		166.480
10yr		186.566

Results 

Price:			98.828
Principal:		117,124
Accrued (11days)	-3,0.56
Cash Amount (MtM)	114,068 
SDV01 (CS01)		4,721.51
5Yr_CDS_Pricing_Example.jpg
<http://quantlib.10058.n7.nabble.com/file/n17368/5Yr_CDS_Pricing_Example.jpg>  



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