[Quantlib-users] CDS -- How to bring NPV closer to zero when re-pricing a calibration instrument.

[HB <kar...@gm...>]

Hi all,

I would really appreciate any insights on how to properly re-price the CDS
used to bootstrap a survival probability curve.

After building a survival probability curve from CDS instruments, I
re-price the calibration instruments as a sanity check, however the NPV of
the re-priced CDS is not zero.

The attached file is a minimal working example.

Using the first CDS as an example, if in each `SpreadCdsHelper` I use
`model == CreditDefaultSwap::ISDA` and as pricing engine the
`MidPointCdsEngine`, then I get an NPV of ~17 cents. If the pricing engine
is changed to `IsdaCdsEngine` (so that, on the surface, appears consistent
with the model), then the NPV becomes a whooping ~ $22:

-- Repricing the first instrument used for calibration:
-- par spread: 0.792734 %
    NPV:         -0.176124
    default leg: -4143.93
    coupon leg:  4143.75

-- Repricing the first instrument used for calibration:
-- par spread: 0.796878 %
    NPV:         -21.8426
    default leg: -4165.85
    coupon leg:  4144.01


Thanks in advance and best regards,
HB