Re: [Quantlib-users] Is anyone able to match the cds spread to price conversion with isda?

[Guillaume H. <gui...@gm...>]

I haven't done any work on it lately. It's on my todo list, I'll try to get
to it eventually. If I find something wrong with the existing code, I'll
send a PR.

Guillaume

On Thu, Feb 15, 2018 at 5:18 AM, Luigi Ballabio <lui...@gm...>
wrote:

> Hello,
>     just thought I'd check.  Did either of you manage to make progress on
> this?
>
> Luigi
>
>
> On Mon, Jan 22, 2018 at 10:22 PM yuzhao88 <yuz...@gm...> wrote:
>
>> Thanks for checking horel. You are right, in this case, the dollar amount
>> matches. To give you an idea why I am looking into survive probabilities,
>> on Bloomberg, try using curve date as 12/29/2017 and use 12/19/2018 as the
>> valuation date and leaving all other fields unchanged, the cash amount
>> obtained from Bloomberg is 886319. Quantlib is giving 890,543.
>>
>>
>>
>>
>>
>> On Jan 12, 2018 4:51 PM, "Guillaume Horel" <gui...@gm...>
>> wrote:
>>
>>> Where do you get the survival probabilities in bloomberg? I'm not sure
>>> why they don't match exactly. I can try to investigate more, but what
>>> matters is the dollar amount, survival probabilities are not tradeable.
>>>
>>> On Fri, Jan 12, 2018 at 4:40 PM, yuzhao88 <yuz...@gm...> wrote:
>>>
>>>> Thanks for coming up with the example. I just tried your code. The
>>>> survival probability to 3/20/2018 is 0.990768 whereas Bbg is showing
>>>> 0.9909. I actually got something very similar to what you got in survival
>>>> probability and it is off by 0.0001 across the board. Any idea why this is
>>>> off by about 0.0001?
>>>>
>>>> On Jan 12, 2018 12:51 PM, "Guillaume Horel" <gui...@gm...>
>>>> wrote:
>>>>
>>>>> Hello,
>>>>>
>>>>> see the code that I used here: https://gist.github.com/
>>>>> 2123c9e524e2b8c50f0f75ebfffa3ae2
>>>>> I get an upfront payment of 638,870 which matches bloomberg for me.
>>>>> One thing to remember is that the upfront is payed T+3 so it's slightly
>>>>> bigger than the NPV of the cds.
>>>>>
>>>>> Cheers,
>>>>> Guillaume
>>>>>
>>>>> On Tue, Jan 9, 2018 at 8:59 AM, yuzhao88 <yuz...@gm...> wrote:
>>>>>
>>>>>> As an example, the survival probability I got for 3/20/2018 is around
>>>>>> 0.99076538 whereas Bloomberg is showing 0.9909.  In general default
>>>>>> probabilities I got are slightly lower than Bloomberg across the board.
>>>>>>
>>>>>> (I am using Spread 248, evaluation date 12/29/2017)
>>>>>>
>>>>>>
>>>>>> On Tue, Jan 9, 2018, 8:29 AM yuzhao88 <yuz...@gm...> wrote:
>>>>>>
>>>>>>> Sorry forgot to click Reply all. Thanks for your reply.
>>>>>>>
>>>>>>> Yes. There discount factors match exactly with Bloomberg, but the
>>>>>>> default probability does not match.
>>>>>>>
>>>>>>> I am using the following code to construct the credit curve.  The
>>>>>>> spread I am plugging in is 248. / 10000.. The evaluation date is 12/29/2017
>>>>>>> and the default probability I got on 3/20 2018, 6/20/2018 etc is lower than
>>>>>>> bbg.
>>>>>>>
>>>>>>>
>>>>>>> Calendar weekendsOnly = WeekendsOnly();
>>>>>>>
>>>>>>> CreditDefaultSwap::PricingModel model = CreditDefaultSwap::ISDA;
>>>>>>> Real recovery_rate = 0.4;
>>>>>>>
>>>>>>> std::vector<boost::shared_ptr<DefaultProbabilityHelper>>
>>>>>>> instruments{
>>>>>>> boost::shared_ptr<DefaultProbabilityHelper>(
>>>>>>> new SpreadCdsHelper(cds_spread, 6 * Months, 1, WeekendsOnly(),
>>>>>>> Quarterly, Following,
>>>>>>> DateGeneration::CDS2015, Actual360(), 0.4, tsCurve, true, true,
>>>>>>> Date(),
>>>>>>> Actual360(true), true, model)),
>>>>>>>
>>>>>>> boost::shared_ptr<DefaultProbabilityHelper>(
>>>>>>> new SpreadCdsHelper(cds_spread, 5 * Years, 1, WeekendsOnly(),
>>>>>>> Quarterly, Following,
>>>>>>> DateGeneration::CDS2015, Actual360(), 0.4, tsCurve, true, true,
>>>>>>> Date(),
>>>>>>> Actual360(true), true, model)),
>>>>>>> };
>>>>>>>
>>>>>>> // build credit curve
>>>>>>> Handle<DefaultProbabilityTermStructure> probability =
>>>>>>> Handle<DefaultProbabilityTermStructure>(
>>>>>>> boost::make_shared<PiecewiseDefaultCurve<SurvivalProbability,
>>>>>>> LogLinear> >
>>>>>>> (0, WeekendsOnly(), instruments, Actual365Fixed()));
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>> On Tue, Jan 9, 2018, 4:22 AM Luigi Ballabio <
>>>>>>> lui...@gm...> wrote:
>>>>>>>
>>>>>>>> Do you have any intermediate results you can compare?  (Schedules,
>>>>>>>> annuities, coupons, probabilities...)
>>>>>>>>
>>>>>>>>
>>>>>>>> On Mon, Jan 8, 2018 at 2:27 PM yuzhao88 <yuz...@gm...> wrote:
>>>>>>>>
>>>>>>>>> I did try that, but did not resolve the discrepancy.
>>>>>>>>>
>>>>>>>>>
>>>>>>>>> On Jan 8, 2018 5:18 AM, "Luigi Ballabio" <lui...@gm...>
>>>>>>>>> wrote:
>>>>>>>>>
>>>>>>>>> Just to rule it out, may you try increasing the accuracy of the
>>>>>>>>> bootstrap? (It can be passed to the constructor of PiecewiseDefaultCurve;
>>>>>>>>> the default is 1e-12, but you might try requesting a smaller error.)
>>>>>>>>>
>>>>>>>>> Luigi
>>>>>>>>>
>>>>>>>>>
>>>>>>>>> On Sun, Jan 7, 2018 at 2:38 AM zcg6433 <yuz...@gm...> wrote:
>>>>>>>>>
>>>>>>>>>> I am wondering if anyone can match ISDA calculation with this
>>>>>>>>>> change. I could
>>>>>>>>>> match the pv of the coupon/premium leg exactly, but the
>>>>>>>>>> protection leg is
>>>>>>>>>> off by about $200 for the $10mm notional cds I tested. Anyone
>>>>>>>>>> else had any
>>>>>>>>>> luck or has idea what is going on?
>>>>>>>>>>
>>>>>>>>>>
>>>>>>>>>>
>>>>>>>>>> --
>>>>>>>>>> Sent from: http://quantlib.10058.n7.nabble.com/quantlib-users-f3.
>>>>>>>>>> html
>>>>>>>>>>
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>>>>>>>>>
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>>>>>
>>>