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From: HB <kar...@gm...> - 2021-04-21 02:17:14
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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
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