Re: [Quantlib-users] CDS quoted spread v Running/par spread calculator

[Ben W. <ben...@ma...>]

Just trying to get a bit of guidance on this.

 

The documentation talks about running spread – which would be the case when coupon=spread. This is not quoted in the market as they quote 100 or 500 coupon.
ql.SpreadCdsHelper(  runningSpread, tenor, settlementDays, calendar, frequency,  paymentConvention, rule, dayCounter, recoveryRate, yts)

 

Example in Git hub (https://github.com/lballabio/QuantLib-SWIG/blob/master/Python/examples/cds.py) talks about quoted spread which would in the market come to mean a fixed coupon. The CDS helper however does not have a coupon. 

 

quoted_spreads = [0.0150, 0.0150, 0.0150, 0.0150]

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

maturities = [calendar.adjust(todaysDate + x, ql.Following) for x in tenors]

 

instruments = [     ql.SpreadCdsHelper(        ql.QuoteHandle(ql.SimpleQuote(s)),        tenor,        0,        calendar,        ql.Quarterly,        ql.Following,        l.DateGeneration.TwentiethIMM,        ql.Actual365Fixed(),        recovery_rate,        risk_free_rate,    )

 

So not so clear, but it looks like it is running spread

 

In light of this is there any function that converts the market quote (with 100 or 500 coupon) to the running spread that I can use to bootstrap a CDS curve?

 

Regards

 

Ben

 

 

 

 

 

From: Ben Watson <ben...@ma...> 
Sent: Thursday, March 30, 2023 10:54 AM
To: 'QuantLib Users' <qua...@li...>; 'Luigi Ballabio' <lui...@gm...>
Subject: CDS quoted spread v Running/par spread calculator

 

Hi,

 

Noticed that the CDS curve builder uses the running spread to boot strap the curve. However the quotes I am working with is basis 100 or 500 coupon with an up front. Does Quantlib have a spread converter to change the quoted spreads to the running spreads?

 

Ben