[Quantlib-users] cds example

[Miguel A. T. M. <mig...@gm...>]

Hi

I’m new to Quantlib. I have run the example 3 of CDS  that reproduces the
example of the OpenGamma paper “Pricing and Risk Management of CDS”. When
comparing the paper with the output of Quantlib I see that the reproduced
yield curve is the same but the credit curve it is not. In fact, the
maturity dates of the SpreadCdsHelper are not the IMM dates but the next
day, even considering for weekend effects. I have tried changing the
DateGenerator and model in the construction of the cdshelpers but have not
replicated the expected maturity dates (IMM adjusted for weekend calendar
and following business date). Even when directly using the constructed
credit curve with the Maturity dates (of table 13) the survival
probabilities in quantlib do not coincide.

.
[image: image.png]

Thanks

Miguel