[Quantlib-users] CDS Buyer Valuation

[Serhat G. <ki...@gm...>]

Hi everyone,

 

I am wondering if there is a method to factor in the counterparty default
risk in CDS pricing when the side is "ql.Protection.Buyer". Perhaps, there
could be an approach such as default correlation or embedding it into the
spread. Do you have any thoughts on this?

 

Regards,

Serhat