Re: [Quantlib-users] CDS standard ISDA model

[Christofer B. <bog...@gm...>]

Hi,

Just curious on a question outside of QL.

What is exactly **ISDA standard model** for CDS, and how/if it is
different from other textbook models (e.g. Hull)?

Any reference/book will be highly appreciated.

Thanks and regards,

On Thu, Apr 13, 2023 at 11:07 AM Ben Watson
<ben...@ma...> wrote:
>
> 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
>
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