Re: [Quantlib-users] CDX.IG Pricing

[Jonathan S. <sw...@gm...>]

Hi James,

Looks like a typo - you want to pass in tenor instead of tenors to
ql.SpreadCdsHelper.

Jonathan

On Tue, Apr 26, 2022 at 10:03 PM James Donaldson via QuantLib-users <
qua...@li...> wrote:

> 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())
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