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

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

Thanks for the heads up.  There's definitely something weird going on.
I'll try investigating some more...

Luigi


On Wed, Apr 21, 2021 at 4:19 AM HB <kar...@gm...> wrote:

> 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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