Re: [Quantlib-users] SWIG/examples/isda-cds.py

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

Ashwani,
    the Python example doesn't get results within tolerance either, so I
doubt there's an obvious answer here.  We should probably check the code of
the engine.

Luigi


On Thu, Apr 1, 2021 at 1:41 AM Ashwani Singh <ash...@gm...>
wrote:

> Using isda-cds.py
> <https://github.com/lballabio/QuantLib-SWIG/blob/master/Python/examples/isda-engine.py>
> example to compare with Bloomberg ISDA Standard Upfront Model but the
> difference between QL fairUpfront and that from BBG  is much larger than
> the precision set. Running just for 40% recovery and 1000 bps case while
> looping through 5 maturities (1Y-5Y).
>
> Results (as below):
>
>    Hazard   Upfront  Market Value  Distance  Within tolerance
> 0    0.17 -1.00e+06      -1003010    554.96             False
> 1    0.17 -1.68e+06      -1682459    641.48             False
> 2    0.17 -2.25e+06      -2253350    426.70             False
> 3    0.17 -2.73e+06      -2727484     62.97             False
> 4    0.17 -3.12e+06      -3120142    458.70             False
> total distance: 2144.81
>
>
> Anyone who might have tried this, could you please point the obvious
> mistake I am committing here? Code attached.
>
> Thanks.
>
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