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

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

Hello Ben,
    you can use the UpfrontCdsHelper class instead. It allows you to
specify both the spread and the quoted upfront.

Best,
    Luigi


On Mon, Apr 3, 2023, 06:44 Ben Watson <ben...@ma...>
wrote:

> 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
>
>