[Quantlib-users] CDX.IG Pricing

[James D. <Jam...@gm...>]

Hello,

I'm new to Quantlib and am trying to set up the market data required to price CDX (IG) trades. When trying to generate CDS helper instruments for a hazard curve, I'm receiving the error message "Wrong number or type of arguments for overloaded function 'new_SpreadCdsHelper'. Would you be able to point out my error? I appreciate the help.

Thanks,

James

# Market Data
todaysDate = ql.Date(21, 4, 2022)

calendar = ql.UnitedStates()

recovery_rate = 0.4

quoted_spreads_bid = [0.002492,0.002492,0.00358,0.005262,0.0063985,0.007535,0.008975,0.011255]

tenors = [ql.Period(6, ql.Months),
          ql.Period(1, ql.Years),
          ql.Period(2, ql.Years),
          ql.Period(3, ql.Years),
          ql.Period(4, ql.Years),
          ql.Period(5, ql.Years),
          ql.Period(7, ql.Years),
          ql.Period(10, ql.Years)]

# Generate a spot curve - discCrvObj is comprised of dates and discount factors
discCrvObj = ql.DiscountCurve(us_isda['maturity_date_ql'].to_list(),
                              us_isda['discount_factor'].to_list(),
                              ql.Actual360(),
                              ql.UnitedStates())

discCrv = ql.YieldTermStructureHandle(discCrvObj)

# Generate hazard curve
cds_curve_instruments = [
    ql.SpreadCdsHelper(
        ql.QuoteHandle(ql.SimpleQuote(s)),
        tenors,
        0,
        calendar,
        ql.Quarterly,
        ql.Following,
        ql.DateGeneration.TwentiethIMM,
        ql.Actual365Fixed(),
        recovery_rate,
        discCrv
    )
    for s, tenor in zip(quoted_spreads_bid, tenors)
]

hazard_curve = ql.PiecewiseFlatHazardRate(todaysDate, cds_curve_instruments, ql.Actual365Fixed())