Re: [Quantlib-dev] 5Year CDS Pricing "T_CreditdefaultSwap.cs"

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

Hello,
    I'm not sure which features are available in QL.Net.  You can try
contacting the developers on the Google+ page at <
https://plus.google.com/100924855000638032994>, which seems active, or on
GitHub at <https://github.com/amaggiulli/qlnet>.

Luigi


On Wed, Mar 30, 2016 at 11:19 AM Zabed <zah...@ho...> wrote:

> 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
> >
>
>
>
> --
> View this message in context:
> http://quantlib.10058.n7.nabble.com/5Year-CDS-Pricing-T-CreditdefaultSwap-cs-tp17368.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
>
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