[Quantlib-users] CDS standard ISDA model

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

Hi,

 

I have adding the ISDA standard model to my CDS class. I have run into one
problem when using SOFR.USD to discount – I get this error

return _QuantLib.CreditDefaultSwap_impliedHazardRate(self, *args)

RuntimeError: yield term structure day counter (Actual/360) should be
Act/365(Fixed)

 

The C++ code has this comment

“The yield curve should be LIBOR piecewise constant  in fwd rates, with a
discount factor of 1 on the calculation date, which coincides with the trade
date.”

 

Looks like there is some error trapping on the daycount of the discount
curve. With the demise of LIBOR, ISDA has updated the discounting defn to
use  RFR’s, USD as an example is now OIS  Actual/360.

 

See 3.2 in the document below. 

https://rfr.ihsmarkit.com/isda/document/RFR%20Interest%20Rate%20Curve%20Spe
cification%20-%206%20Currencies%20(August%209,%202022).pdf

 

I could not find the line of code that throw the error, but maybe the best
way to fix this is to get rid of the day count checks. 

 

 

Regards

 

Ben