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

[Francois B. <ig...@gm...>]

Zabed,

I help out with the QLNet development a bit. I mainly try to keep QLNet in
line with QuantLib. If you can reproduce your problem in QuantLib with C++
and get assistance here, then I will help you fix it in QLNet.

regards
Francois

Francois Botha

On 5 April 2016 at 15:45, Luigi Ballabio <lui...@gm...> wrote:

> 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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>
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