quantlib-users — QuantLib users discussion list

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
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

Re: [Quantlib-users] CDS standard ISDA model

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

Thanks, I was just about to suggest that.

On Thu, Apr 13, 2023 at 9:37 AM Ben Watson <ben...@ma...>
wrote:

> I have logged this an issue on  github
>
>
>
> *From:* Ben Watson <ben...@ma...>
> *Sent:* Thursday, April 13, 2023 3:36 PM
> *To:* 'QuantLib Users' <qua...@li...>
> *Cc:* 'Luigi Ballabio' <lui...@gm...>
> *Subject:* CDS standard ISDA model
>
>
>
> 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%20Specification%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
>
>

Re: [Quantlib-users] CDS standard ISDA model

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

I have logged this an issue on  github

 

From: Ben Watson <ben...@ma...> 
Sent: Thursday, April 13, 2023 3:36 PM
To: 'QuantLib Users' <qua...@li...>
Cc: 'Luigi Ballabio' <lui...@gm...>
Subject: CDS standard ISDA model 

 

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%20Specification%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

[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

[Quantlib-users] Amortizing swaptions

[Aleksis A. R. <ale...@go...>]

Hi. When playing around with quantlib, it seems using the 1-factor GSR model allows computation of swaptions on amortizing swaps by simply supplying a standard swaption vol cube. Just wanted to get some feedback on the veracity of this approach because these swaptions rely on correlations between fwds in the amortization profile (not supplied in this model, so really they require a 2 factor model to price). In the example I compared a 1y10y vanilla swaption to a 1y10y swaption with constant (linear) amortization profile, both with their respective atmf. The numbers do make sense (vega, delta and premium is around half of the vanilla), however the vega risk profile of the latter seems to bucket the risks to the 1y6 and 1y7y buckets (ignoring 1y2y,1y3y,1y4y…etc which you would expect to see):

 
1Y	6Y	7Y	8Y	9Y	10Y	Total
1M	7	0	0	0	0	0	7
1Y	0	7,617	10,665	(5)	(7)	(4)	18,267
1Y6M	0	90	121	(3)	0	0	208
Total	7	7,707	10,786	(8)	(7)	(4)	18,482

Thanks, Aleksis

[Quantlib-users] bonds with different payment and accrual frequencies

[Sanjay <kes...@ya...>]

Hi all,
I'm just beginning to find my way around QuantLibXL and can't figure out how to model an adjustable rate bond where the coupon rate resets every week and coupons are paid every month based upon the compounded weekly resets.  The resets are not from an index but instead, announced by the issuer.
Thanks in advance for any help.
--S

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

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

It does help… got it working –subbing in UpfrontCdsHelper for SpreadCdsHelper and bootstrap. That makes my life a lot easier.

Thank you Luigi

 

From: Luigi Ballabio <lui...@gm...> 
Sent: Thursday, April 6, 2023 8:49 PM
To: Ben Watson <ben...@ma...>
Cc: QuantLib Users <qua...@li...>
Subject: Re: CDS quoted spread v Running/par spread calculator

 

The model should be `ql.CreditDefaultSwap.Midpoint`.  It's an enumeration.

 

However, it's the way you're trying to use the helper that doesn't work.  After you create the helper, it's not connected to any probability curve (hence the "px != 0" error); it should be used to build one.  So once you have your set of helpers, you should create a PiecewiseFlatHazardRate instance.  Once you have a bootstrapped curve, you could ask helper.impliedQuote() but it will return the upfront (because that's the quote for the helper) and it will simply match your input.  If you want a corresponding spread, you can create a CreditDefaultSwap, pass the default probability curve to its engine and ask it for its fair spread.

 

Hope this helps,

    Luigi

 

 

On Thu, Apr 6, 2023 at 5:40 AM Ben Watson <ben...@ma... <mailto:ben...@ma...> > wrote:

Hi  Luigi,

 

Thank you for this – looks promising, but not a lot doco on UpfrontCdsHelper to work with.  But I have put together a function to test this out. The code also print the all the types of the inputs to the UpfrontCdsHelper to make sure I am passing the correct types.

 

I got ‘kind of’ close to get it working, but….

 

If I leave the model (being the MidpointEngine) out of the UpfrontCdsHelper caller function, it throws no error, except that I get the following error when calling impliedQuote

 

  return _QuantLib.DefaultProbabilityHelper_impliedQuote(self)

RuntimeError: Boost assertion failed: px != 0

 

If I include the MidpointEngine I get the following error

 

TypeError: Wrong number or type of arguments for overloaded function 'new_UpfrontCdsHelper'.

  Possible C/C++ prototypes are:….

…

UpfrontCdsHelper::UpfrontCdsHelper(Rate,Rate,Period const &,Integer,Calendar const &,Frequency,BusinessDayConvention,DateGeneration::Rule,DayCounter const &,Real,Handle< YieldTermStructure > const &,Natural,bool,bool,Date const &,DayCounter const &,bool,CreditDefaultSwap::PricingModel)

….

 

The type of the is …. model <QuantLib.QuantLib.MidPointCdsEngine; proxy of <Swig Object of type 'ext::shared_ptr< MidPointCdsEngine > *' at 0x000001150752E4E0> > <class 'QuantLib.QuantLib.MidPointCdsEngine'>

 

Not sure if there is something that I am doing wrong or there is a bug…

 

Code below….

 

import QuantLib as ql

def convert_spreads(    upfront,    running_spread,    recovery_rate,    notional,    maturity_date,    today=None,    coupon_frequency=4,    day_count=ql.Thirty360(),    calendar=ql.TARGET(),):

  

    flat_ts = ql.FlatForward(today, 0.0, day_count, ql.Compounded, ql.Annual)

    yield_curve_handle = ql.YieldTermStructureHandle(flat_ts)

 

    upfront_quote =  ql.QuoteHandle(ql.SimpleQuote(upfront))

    running_spread_quote =running_spread# ql.QuoteHandle(ql.SimpleQuote(running_spread))

    

    hazard_rate_structure = upfront_quote

    default_probability_curve = ql.FlatHazardRate(0, calendar, hazard_rate_structure, day_count)

    MidpointEngine = ql.MidPointCdsEngine( ql.DefaultProbabilityTermStructureHandle(default_probability_curve),recovery_rate,yield_curve_handle, )

 

    settlementDays=2

    tenor=ql.Period(5,ql.Years)

    frequency= ql.Quarterly

    paymentConvention=ql.Following

    rule=ql.DateGeneration.TwentiethIMM

    dayCounter=ql.Actual365Fixed()

    upfrontSettlementDays=3

    settlesAccrual =True

    paysAtDefaultTime=True

    startDate=today

    lastPeriodDayCounter=ql.Actual365Fixed()

    rebatesAccrual=True

    model=MidpointEngine

    

    print('=============================================================================================================================')

    print('upfront_quote',upfront_quote,type(upfront_quote))                                        # const Handle< Quote > &   upfront,

    print('upfront',upfront,type(upfront))                                                          # Rate  runningSpread

    print('running_spread_quote',running_spread_quote,type(running_spread_quote))                   # Rate  runningSpread,

    print('tenor',tenor,type(tenor))                                                                # const Period &    tenor,

    print('settlementDays',settlementDays,type(settlementDays))                                     # Integer   settlementDays,

    print('calendar',calendar,type(calendar))                                                       # const Calendar &  calendar,     

    print('frequency',frequency,type(frequency))                                                    # Frequency     frequency,

    print('paymentConvention',paymentConvention,type(paymentConvention))                            # BusinessDayConvention     paymentConvention,

    print('rule',rule,type(rule))                                                                   # DateGeneration::Rule  rule,

    print('dayCounter',dayCounter,type(dayCounter))                                                 # const DayCounter &    dayCounter,

    print('recovery_rate',recovery_rate,type(recovery_rate))                                        # Real  recoveryRate,

    print('yield_curve_handle',yield_curve_handle,type(yield_curve_handle))                         # const Handle< YieldTermStructure > &  discountCurve,  

    print('upfrontSettlementDays',upfrontSettlementDays,type(upfrontSettlementDays))                # Natural   upfrontSettlementDays = 3,

    print('settlesAccrual',settlesAccrual,type(settlesAccrual))                                     # bool  settlesAccrual = true,

    print('paysAtDefaultTime',paysAtDefaultTime,type(paysAtDefaultTime))                            # bool  paysAtDefaultTime = true,

    print('startDate',startDate,type(startDate))                                                    # const Date &  startDate = Date(),

    print('lastPeriodDayCounter',lastPeriodDayCounter,type(lastPeriodDayCounter))                   # const DayCounter &    lastPeriodDayCounter = DayCounter(),     

    print('rebatesAccrual',rebatesAccrual,type(rebatesAccrual))                                     # bool  rebatesAccrual = true,    

    print('model',model,type(model))                                                                # CreditDefaultSwap::PricingModel   model = CreditDefaultSwap::Midpoint 

    print('=============================================================================================================================')

    helper = ql.UpfrontCdsHelper(

        upfront,                                        # Rate  runningSpread / const Handle< Quote > &     upfront,

        running_spread_quote,                           # Rate  runningSpread,

        tenor,                                          # const Period &    tenor,

        settlementDays,                                 # Integer   settlementDays,

        calendar,                                       # const Calendar &  calendar,     

        frequency,                                      # Frequency     frequency,

        paymentConvention,                              # BusinessDayConvention     paymentConvention,

        rule,                                           # DateGeneration::Rule  rule,

        dayCounter,                                     # const DayCounter &    dayCounter,

        recovery_rate,                                  # Real  recoveryRate,

        yield_curve_handle,                             # const Handle< YieldTermStructure > &  discountCurve, 

        upfrontSettlementDays,                          # Natural   upfrontSettlementDays = 3,

        settlesAccrual,                                 # bool  settlesAccrual = true,

        paysAtDefaultTime,                              # bool  paysAtDefaultTime = true,

        startDate,                                      # const Date &  startDate = Date(),

        lastPeriodDayCounter,                           # const DayCounter &    lastPeriodDayCounter = DayCounter(), 

        rebatesAccrual,                                 # bool  rebatesAccrual = true,

    #    model,                                          # CreditDefaultSwap::PricingModel  model = CreditDefaultSwap::Midpoint 

        )

    fair_running_spread = helper.impliedQuote()

    return  fair_running_spread

 

if __name__ == "__main__":

    upfront = 0.01

    running_spread = 0.012

    recovery_rate = 0.4

    notional = 1e7

    maturity_date = ql.Date(20,12,2028)

    

    today = ql.Date(3,4,2023)

    ql.Settings.instance().setEvaluationDate(today)

    fair_upfront, fair_running_spread = convert_spreads(upfront, running_spread, recovery_rate, notional, maturity_date, today    )

 

    print(f"Fair Running Spread: {fair_running_spread:.4f}")

 

 

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

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

The model should be `ql.CreditDefaultSwap.Midpoint`.  It's an enumeration.

However, it's the way you're trying to use the helper that doesn't work.
After you create the helper, it's not connected to any probability curve
(hence the "px != 0" error); it should be used to build one.  So once you
have your set of helpers, you should create a PiecewiseFlatHazardRate
instance.  Once you have a bootstrapped curve, you could ask
helper.impliedQuote() but it will return the upfront (because that's the
quote for the helper) and it will simply match your input.  If you want a
corresponding spread, you can create a CreditDefaultSwap, pass the default
probability curve to its engine and ask it for its fair spread.

Hope this helps,
    Luigi


On Thu, Apr 6, 2023 at 5:40 AM Ben Watson <ben...@ma...>
wrote:

> Hi  Luigi,
>
>
>
> Thank you for this – looks promising, but not a lot doco on UpfrontCdsHelper
> to work with.  But I have put together a function to test this out. The
> code also print the all the types of the inputs to the UpfrontCdsHelper to
> make sure I am passing the correct types.
>
>
>
> I got ‘kind of’ close to get it working, but….
>
>
>
> If I leave the model (being the MidpointEngine) out of the
> UpfrontCdsHelper caller function, it throws no error, except that I get the
> following error when calling impliedQuote
>
>
>
>   return _QuantLib.DefaultProbabilityHelper_impliedQuote(self)
>
> RuntimeError: Boost assertion failed: px != 0
>
>
>
> If I include the MidpointEngine I get the following error
>
>
>
> TypeError: Wrong number or type of arguments for overloaded function
> 'new_UpfrontCdsHelper'.
>
>   Possible C/C++ prototypes are:….
>
> …
>
> UpfrontCdsHelper::UpfrontCdsHelper(Rate,Rate,Period const
> &,Integer,Calendar const
> &,Frequency,BusinessDayConvention,DateGeneration::Rule,DayCounter const
> &,Real,Handle< YieldTermStructure > const &,Natural,bool,bool,Date const
> &,DayCounter const &,bool,CreditDefaultSwap::PricingModel)
>
> ….
>
>
>
> The type of the is …. model <QuantLib.QuantLib.MidPointCdsEngine; proxy
> of <Swig Object of type 'ext::shared_ptr< MidPointCdsEngine > *' at
> 0x000001150752E4E0> > <class 'QuantLib.QuantLib.MidPointCdsEngine'>
>
>
>
> Not sure if there is something that I am doing wrong or there is a bug…
>
>
>
> Code below….
>
>
>
> import QuantLib as ql
>
> def convert_spreads(    upfront,    running_spread,    recovery_rate,
> notional,    maturity_date,    today=None,    coupon_frequency=4,
> day_count=ql.Thirty360(),    calendar=ql.TARGET(),):
>
>
>
>     flat_ts = ql.FlatForward(today, 0.0, day_count, ql.Compounded, ql.
> Annual)
>
>     yield_curve_handle = ql.YieldTermStructureHandle(flat_ts)
>
>
>
>     upfront_quote =  ql.QuoteHandle(ql.SimpleQuote(upfront))
>
>     running_spread_quote =running_spread#
> ql.QuoteHandle(ql.SimpleQuote(running_spread))
>
>
>
>     hazard_rate_structure = upfront_quote
>
>     default_probability_curve = ql.FlatHazardRate(0, calendar,
> hazard_rate_structure, day_count)
>
>     MidpointEngine = ql.MidPointCdsEngine( ql.
> DefaultProbabilityTermStructureHandle(default_probability_curve),
> recovery_rate,yield_curve_handle, )
>
>
>
>     settlementDays=2
>
>     tenor=ql.Period(5,ql.Years)
>
>     frequency= ql.Quarterly
>
>     paymentConvention=ql.Following
>
>     rule=ql.DateGeneration.TwentiethIMM
>
>     dayCounter=ql.Actual365Fixed()
>
>     upfrontSettlementDays=3
>
>     settlesAccrual =True
>
>     paysAtDefaultTime=True
>
>     startDate=today
>
>     lastPeriodDayCounter=ql.Actual365Fixed()
>
>     rebatesAccrual=True
>
>     model=MidpointEngine
>
>
>
>     print(
> '============================================================================================================================='
> )
>
>     print('upfront_quote',upfront_quote,type(upfront_quote))
>                            # const Handle< Quote > &   upfront,
>
>     print('upfront',upfront,type(upfront))
>                            # Rate  runningSpread
>
>     print('running_spread_quote',running_spread_quote,type(
> running_spread_quote))                   # Rate  runningSpread,
>
>     print('tenor',tenor,type(tenor))
>                            # const Period &    tenor,
>
>     print('settlementDays',settlementDays,type(settlementDays))
>                           # Integer   settlementDays,
>
>     print('calendar',calendar,type(calendar))
>                           # const Calendar &  calendar,
>
>     print('frequency',frequency,type(frequency))
>                            # Frequency     frequency,
>
>     print('paymentConvention',paymentConvention,type(paymentConvention))
>                            # BusinessDayConvention     paymentConvention,
>
>     print('rule',rule,type(rule))
>                           # DateGeneration::Rule  rule,
>
>     print('dayCounter',dayCounter,type(dayCounter))
>                           # const DayCounter &    dayCounter,
>
>     print('recovery_rate',recovery_rate,type(recovery_rate))
>                            # Real  recoveryRate,
>
>     print('yield_curve_handle',yield_curve_handle,type(yield_curve_handle))
>                         # const Handle< YieldTermStructure > &
>  discountCurve,
>
>     print('upfrontSettlementDays',upfrontSettlementDays,type(
> upfrontSettlementDays))                # Natural   upfrontSettlementDays
> = 3,
>
>     print('settlesAccrual',settlesAccrual,type(settlesAccrual))
>                           # bool  settlesAccrual = true,
>
>     print('paysAtDefaultTime',paysAtDefaultTime,type(paysAtDefaultTime))
>                            # bool  paysAtDefaultTime = true,
>
>     print('startDate',startDate,type(startDate))
>                            # const Date &  startDate = Date(),
>
>     print('lastPeriodDayCounter',lastPeriodDayCounter,type(
> lastPeriodDayCounter))                   # const DayCounter &
>  lastPeriodDayCounter = DayCounter(),
>
>     print('rebatesAccrual',rebatesAccrual,type(rebatesAccrual))
>                           # bool  rebatesAccrual = true,
>
>     print('model',model,type(model))
>                            # CreditDefaultSwap::PricingModel   model =
> CreditDefaultSwap::Midpoint
>
>     print(
> '============================================================================================================================='
> )
>
>     helper = ql.UpfrontCdsHelper(
>
>         upfront,                                        # Rate
>  runningSpread / const Handle< Quote > &     upfront,
>
>         running_spread_quote,                           # Rate
>  runningSpread,
>
>         tenor,                                          # const Period &
>    tenor,
>
>         settlementDays,                                 # Integer
> settlementDays,
>
>         calendar,                                       # const Calendar
> &  calendar,
>
>         frequency,                                      # Frequency
> frequency,
>
>         paymentConvention,                              #
> BusinessDayConvention     paymentConvention,
>
>         rule,                                           #
> DateGeneration::Rule  rule,
>
>         dayCounter,                                     # const
> DayCounter &    dayCounter,
>
>         recovery_rate,                                  # Real
>  recoveryRate,
>
>         yield_curve_handle,                             # const Handle<
> YieldTermStructure > &  discountCurve,
>
>         upfrontSettlementDays,                          # Natural
> upfrontSettlementDays = 3,
>
>         settlesAccrual,                                 # bool
>  settlesAccrual = true,
>
>         paysAtDefaultTime,                              # bool
>  paysAtDefaultTime = true,
>
>         startDate,                                      # const Date &
>  startDate = Date(),
>
>         lastPeriodDayCounter,                           # const
> DayCounter &    lastPeriodDayCounter = DayCounter(),
>
>         rebatesAccrual,                                 # bool
>  rebatesAccrual = true,
>
>     #    model,                                          #
> CreditDefaultSwap::PricingModel  model = CreditDefaultSwap::Midpoint
>
>         )
>
>     fair_running_spread = helper.impliedQuote()
>
>     return  fair_running_spread
>
>
>
> if __name__ == "__main__":
>
>     upfront = 0.01
>
>     running_spread = 0.012
>
>     recovery_rate = 0.4
>
>     notional = 1e7
>
>     maturity_date = ql.Date(20,12,2028)
>
>
>
>     today = ql.Date(3,4,2023)
>
>     ql.Settings.instance().setEvaluationDate(today)
>
>     fair_upfront, fair_running_spread = convert_spreads(upfront,
> running_spread, recovery_rate, notional, maturity_date, today    )
>
>
>
>     print(f"Fair Running Spread: {fair_running_spread:.4f}")
>
>
>
>
>

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

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

Hi  Luigi,

 

Thank you for this – looks promising, but not a lot doco on UpfrontCdsHelper to work with.  But I have put together a function to test this out. The code also print the all the types of the inputs to the UpfrontCdsHelper to make sure I am passing the correct types.

 

I got ‘kind of’ close to get it working, but….

 

If I leave the model (being the MidpointEngine) out of the UpfrontCdsHelper caller function, it throws no error, except that I get the following error when calling impliedQuote

 

  return _QuantLib.DefaultProbabilityHelper_impliedQuote(self)

RuntimeError: Boost assertion failed: px != 0

 

If I include the MidpointEngine I get the following error

 

TypeError: Wrong number or type of arguments for overloaded function 'new_UpfrontCdsHelper'.

  Possible C/C++ prototypes are:….

…

UpfrontCdsHelper::UpfrontCdsHelper(Rate,Rate,Period const &,Integer,Calendar const &,Frequency,BusinessDayConvention,DateGeneration::Rule,DayCounter const &,Real,Handle< YieldTermStructure > const &,Natural,bool,bool,Date const &,DayCounter const &,bool,CreditDefaultSwap::PricingModel)

….

 

The type of the is …. model <QuantLib.QuantLib.MidPointCdsEngine; proxy of <Swig Object of type 'ext::shared_ptr< MidPointCdsEngine > *' at 0x000001150752E4E0> > <class 'QuantLib.QuantLib.MidPointCdsEngine'>

 

Not sure if there is something that I am doing wrong or there is a bug…

 

Code below….

 

import QuantLib as ql

def convert_spreads(    upfront,    running_spread,    recovery_rate,    notional,    maturity_date,    today=None,    coupon_frequency=4,    day_count=ql.Thirty360(),    calendar=ql.TARGET(),):

  

    flat_ts = ql.FlatForward(today, 0.0, day_count, ql.Compounded, ql.Annual)

    yield_curve_handle = ql.YieldTermStructureHandle(flat_ts)

 

    upfront_quote =  ql.QuoteHandle(ql.SimpleQuote(upfront))

    running_spread_quote =running_spread# ql.QuoteHandle(ql.SimpleQuote(running_spread))

    

    hazard_rate_structure = upfront_quote

    default_probability_curve = ql.FlatHazardRate(0, calendar, hazard_rate_structure, day_count)

    MidpointEngine = ql.MidPointCdsEngine( ql.DefaultProbabilityTermStructureHandle(default_probability_curve),recovery_rate,yield_curve_handle, )

 

    settlementDays=2

    tenor=ql.Period(5,ql.Years)

    frequency= ql.Quarterly

    paymentConvention=ql.Following

    rule=ql.DateGeneration.TwentiethIMM

    dayCounter=ql.Actual365Fixed()

    upfrontSettlementDays=3

    settlesAccrual =True

    paysAtDefaultTime=True

    startDate=today

    lastPeriodDayCounter=ql.Actual365Fixed()

    rebatesAccrual=True

    model=MidpointEngine

    

    print('=============================================================================================================================')

    print('upfront_quote',upfront_quote,type(upfront_quote))                                        # const Handle< Quote > &   upfront,

    print('upfront',upfront,type(upfront))                                                          # Rate  runningSpread

    print('running_spread_quote',running_spread_quote,type(running_spread_quote))                   # Rate  runningSpread,

    print('tenor',tenor,type(tenor))                                                                # const Period &    tenor,

    print('settlementDays',settlementDays,type(settlementDays))                                     # Integer   settlementDays,

    print('calendar',calendar,type(calendar))                                                       # const Calendar &  calendar,     

    print('frequency',frequency,type(frequency))                                                    # Frequency     frequency,

    print('paymentConvention',paymentConvention,type(paymentConvention))                            # BusinessDayConvention     paymentConvention,

    print('rule',rule,type(rule))                                                                   # DateGeneration::Rule  rule,

    print('dayCounter',dayCounter,type(dayCounter))                                                 # const DayCounter &    dayCounter,

    print('recovery_rate',recovery_rate,type(recovery_rate))                                        # Real  recoveryRate,

    print('yield_curve_handle',yield_curve_handle,type(yield_curve_handle))                         # const Handle< YieldTermStructure > &  discountCurve,  

    print('upfrontSettlementDays',upfrontSettlementDays,type(upfrontSettlementDays))                # Natural   upfrontSettlementDays = 3,

    print('settlesAccrual',settlesAccrual,type(settlesAccrual))                                     # bool  settlesAccrual = true,

    print('paysAtDefaultTime',paysAtDefaultTime,type(paysAtDefaultTime))                            # bool  paysAtDefaultTime = true,

    print('startDate',startDate,type(startDate))                                                    # const Date &  startDate = Date(),

    print('lastPeriodDayCounter',lastPeriodDayCounter,type(lastPeriodDayCounter))                   # const DayCounter &    lastPeriodDayCounter = DayCounter(),     

    print('rebatesAccrual',rebatesAccrual,type(rebatesAccrual))                                     # bool  rebatesAccrual = true,    

    print('model',model,type(model))                                                                # CreditDefaultSwap::PricingModel   model = CreditDefaultSwap::Midpoint 

    print('=============================================================================================================================')

    helper = ql.UpfrontCdsHelper(

        upfront,                                        # Rate  runningSpread / const Handle< Quote > &     upfront,

        running_spread_quote,                           # Rate  runningSpread,

        tenor,                                          # const Period &    tenor,

        settlementDays,                                 # Integer   settlementDays,

        calendar,                                       # const Calendar &  calendar,     

        frequency,                                      # Frequency     frequency,

        paymentConvention,                              # BusinessDayConvention     paymentConvention,

        rule,                                           # DateGeneration::Rule  rule,

        dayCounter,                                     # const DayCounter &    dayCounter,

        recovery_rate,                                  # Real  recoveryRate,

        yield_curve_handle,                             # const Handle< YieldTermStructure > &  discountCurve, 

        upfrontSettlementDays,                          # Natural   upfrontSettlementDays = 3,

        settlesAccrual,                                 # bool  settlesAccrual = true,

        paysAtDefaultTime,                              # bool  paysAtDefaultTime = true,

        startDate,                                      # const Date &  startDate = Date(),

        lastPeriodDayCounter,                           # const DayCounter &    lastPeriodDayCounter = DayCounter(), 

        rebatesAccrual,                                 # bool  rebatesAccrual = true,

    #    model,                                          # CreditDefaultSwap::PricingModel  model = CreditDefaultSwap::Midpoint 

        )

    fair_running_spread = helper.impliedQuote()

    return  fair_running_spread

 

if __name__ == "__main__":

    upfront = 0.01

    running_spread = 0.012

    recovery_rate = 0.4

    notional = 1e7

    maturity_date = ql.Date(20,12,2028)

    

    today = ql.Date(3,4,2023)

    ql.Settings.instance().setEvaluationDate(today)

    fair_upfront, fair_running_spread = convert_spreads(upfront, running_spread, recovery_rate, notional, maturity_date, today    )

 

    print(f"Fair Running Spread: {fair_running_spread:.4f}")

 

 

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

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

Also forgot to say. There may be an issue with the IsdaCdsEngine – I saw some error messages regarding the daycount basis of the discount curve. I think the code has not been updated to allow RFR discounting – can you pls confirm. I would imagine that the simplest thing would be to remove the daycount error checking of curve.

 

 

From: Ben Watson <ben...@ma...> 
Sent: Thursday, April 6, 2023 11:38 AM
To: 'QuantLib Users' <qua...@li...>
Cc: 'Luigi Ballabio' <lui...@gm...>
Subject: RE: [Quantlib-users] CDS quoted spread v Running/par spread calculator

 

 

Sorry to hassle on this – UpfrontCdsHelper is not working.  I do need to decide if I need to go another path to convert the upfront CDS to the running spread. 

 

On Tue, 4 Apr 2023, 11:57 Ben Watson, <ben...@ma... <mailto:ben...@ma...> > wrote:

Thank you Luigi,

 

Thank you for this – looks promising, but not a lot doco on UpfrontCdsHelper to work with.  But I have put together a function to test this out. The code also print the all the types of the inputs to the UpfrontCdsHelper to make sure I am passing the correct types.

 

I got ‘kind of’ close to get it working, but….

 

If I leave the model (being the MidpointEngine) out of the UpfrontCdsHelper caller function, it throws no error, except that I get the following error when calling impliedQuote

 

  return _QuantLib.DefaultProbabilityHelper_impliedQuote(self)

RuntimeError: Boost assertion failed: px != 0

 

If I include the MidpointEngine I get the following error

 

TypeError: Wrong number or type of arguments for overloaded function 'new_UpfrontCdsHelper'.

  Possible C/C++ prototypes are:….

…

…

UpfrontCdsHelper::UpfrontCdsHelper(Rate,Rate,Period const &,Integer,Calendar const &,Frequency,BusinessDayConvention,DateGeneration::Rule,DayCounter const &,Real,Handle< YieldTermStructure > const &,Natural,bool,bool,Date const &,DayCounter const &,bool,CreditDefaultSwap::PricingModel)

….

….

 

The type of the is …. model <QuantLib.QuantLib.MidPointCdsEngine; proxy of <Swig Object of type 'ext::shared_ptr< MidPointCdsEngine > *' at 0x000001150752E4E0> > <class 'QuantLib.QuantLib.MidPointCdsEngine'>

 

Not sure if there is something that I am doing wrong or there is a bug…

 

Code below….

 

import QuantLib as ql

 

def convert_spreads(    upfront,    running_spread,    recovery_rate,    notional,    maturity_date,    today=None,    coupon_frequency=4,    day_count=ql.Thirty360(),    calendar=ql.TARGET(),):

  

    flat_ts = ql.FlatForward(today, 0.0, day_count, ql.Compounded, ql.Annual)

    yield_curve_handle = ql.YieldTermStructureHandle(flat_ts)

 

    upfront_quote =  ql.QuoteHandle(ql.SimpleQuote(upfront))

    running_spread_quote =running_spread# ql.QuoteHandle(ql.SimpleQuote(running_spread))

    

    hazard_rate_structure = upfront_quote

    default_probability_curve = ql.FlatHazardRate(0, calendar, hazard_rate_structure, day_count)

    MidpointEngine = ql.MidPointCdsEngine( ql.DefaultProbabilityTermStructureHandle(default_probability_curve),recovery_rate,yield_curve_handle, )

 

    settlementDays=2

    tenor=ql.Period(5,ql.Years)

    frequency= ql.Quarterly

    paymentConvention=ql.Following

    rule=ql.DateGeneration.TwentiethIMM

    dayCounter=ql.Actual365Fixed()

    upfrontSettlementDays=3

    settlesAccrual =True

    paysAtDefaultTime=True

    startDate=today

    lastPeriodDayCounter=ql.Actual365Fixed()

    rebatesAccrual=True

    model=MidpointEngine

    

    print('=============================================================================================================================')

    print('upfront_quote',upfront_quote,type(upfront_quote))                                        # const Handle< Quote > &   upfront,

    print('upfront',upfront,type(upfront))                                                          # Rate  runningSpread

    print('running_spread_quote',running_spread_quote,type(running_spread_quote))                   # Rate  runningSpread,

    print('tenor',tenor,type(tenor))                                                                # const Period &    tenor,

    print('settlementDays',settlementDays,type(settlementDays))                                     # Integer   settlementDays,

    print('calendar',calendar,type(calendar))                                                       # const Calendar &  calendar,     

    print('frequency',frequency,type(frequency))                                                    # Frequency     frequency,

    print('paymentConvention',paymentConvention,type(paymentConvention))                            # BusinessDayConvention     paymentConvention,

    print('rule',rule,type(rule))                                                                   # DateGeneration::Rule  rule,

    print('dayCounter',dayCounter,type(dayCounter))                                                 # const DayCounter &    dayCounter,

    print('recovery_rate',recovery_rate,type(recovery_rate))                                        # Real  recoveryRate,

    print('yield_curve_handle',yield_curve_handle,type(yield_curve_handle))                         # const Handle< YieldTermStructure > &  discountCurve,  

    print('upfrontSettlementDays',upfrontSettlementDays,type(upfrontSettlementDays))                # Natural   upfrontSettlementDays = 3,

    print('settlesAccrual',settlesAccrual,type(settlesAccrual))                                     # bool  settlesAccrual = true,

    print('paysAtDefaultTime',paysAtDefaultTime,type(paysAtDefaultTime))                            # bool  paysAtDefaultTime = true,

    print('startDate',startDate,type(startDate))                                                    # const Date &  startDate = Date(),

    print('lastPeriodDayCounter',lastPeriodDayCounter,type(lastPeriodDayCounter))                   # const DayCounter &    lastPeriodDayCounter = DayCounter(),     

    print('rebatesAccrual',rebatesAccrual,type(rebatesAccrual))                                     # bool  rebatesAccrual = true,    

    print('model',model,type(model))                                                                # CreditDefaultSwap::PricingModel   model = CreditDefaultSwap::Midpoint 

    print('=============================================================================================================================')

 

    helper = ql.UpfrontCdsHelper(

        upfront,                                        # Rate  runningSpread / const Handle< Quote > &     upfront,

        running_spread_quote,                           # Rate  runningSpread,

        tenor,                                          # const Period &    tenor,

        settlementDays,                                 # Integer   settlementDays,

        calendar,                                       # const Calendar &  calendar,     

        frequency,                                      # Frequency     frequency,

        paymentConvention,                              # BusinessDayConvention     paymentConvention,

        rule,                                           # DateGeneration::Rule  rule,

        dayCounter,                                     # const DayCounter &    dayCounter,

        recovery_rate,                                  # Real  recoveryRate,

        yield_curve_handle,                             # const Handle< YieldTermStructure > &  discountCurve, 

        upfrontSettlementDays,                          # Natural   upfrontSettlementDays = 3,

        settlesAccrual,                                 # bool  settlesAccrual = true,

        paysAtDefaultTime,                              # bool  paysAtDefaultTime = true,

        startDate,                                      # const Date &  startDate = Date(),

        lastPeriodDayCounter,                           # const DayCounter &    lastPeriodDayCounter = DayCounter(), 

        rebatesAccrual,                                 # bool  rebatesAccrual = true,

    #    model,                                          # CreditDefaultSwap::PricingModel  model = CreditDefaultSwap::Midpoint 

        )

     

    fair_running_spread = helper.impliedQuote()

 

    return  fair_running_spread

 

if __name__ == "__main__":

    upfront = 0.01

    running_spread = 0.012

    recovery_rate = 0.4

    notional = 1e7

    maturity_date = ql.Date(20,12,2028)

    

    today = ql.Date(3,4,2023)

    ql.Settings.instance().setEvaluationDate(today)

    fair_upfront, fair_running_spread = convert_spreads(upfront, running_spread, recovery_rate, notional, maturity_date, today    )

 

    print(f"Fair Running Spread: {fair_running_spread:.4f}")

 

 

 

 

 

From: Luigi Ballabio <lui...@gm... <mailto:lui...@gm...> > 
Sent: Monday, April 3, 2023 6:04 PM
To: Ben Watson <ben...@ma... <mailto:ben...@ma...> >
Cc: QuantLib Users <qua...@li... <mailto:qua...@li...> >
Subject: Re: CDS quoted spread v Running/par spread calculator

 

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... <mailto: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... <mailto:ben...@ma...> > 
Sent: Thursday, March 30, 2023 10:54 AM
To: 'QuantLib Users' <qua...@li... <mailto:qua...@li...> >; 'Luigi Ballabio' <lui...@gm... <mailto: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 

_______________________________________________
QuantLib-users mailing list
Qua...@li... <mailto:Qua...@li...> 
https://lists.sourceforge.net/lists/listinfo/quantlib-users

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

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

 

Sorry to hassle on this – UpfrontCdsHelper is not working.  I do need to decide if I need to go another path to convert the upfront CDS to the running spread. 

 

On Tue, 4 Apr 2023, 11:57 Ben Watson, <ben...@ma... <mailto:ben...@ma...> > wrote:

Thank you Luigi,

 

Thank you for this – looks promising, but not a lot doco on UpfrontCdsHelper to work with.  But I have put together a function to test this out. The code also print the all the types of the inputs to the UpfrontCdsHelper to make sure I am passing the correct types.

 

I got ‘kind of’ close to get it working, but….

 

If I leave the model (being the MidpointEngine) out of the UpfrontCdsHelper caller function, it throws no error, except that I get the following error when calling impliedQuote

 

  return _QuantLib.DefaultProbabilityHelper_impliedQuote(self)

RuntimeError: Boost assertion failed: px != 0

 

If I include the MidpointEngine I get the following error

 

TypeError: Wrong number or type of arguments for overloaded function 'new_UpfrontCdsHelper'.

  Possible C/C++ prototypes are:….

…

…

UpfrontCdsHelper::UpfrontCdsHelper(Rate,Rate,Period const &,Integer,Calendar const &,Frequency,BusinessDayConvention,DateGeneration::Rule,DayCounter const &,Real,Handle< YieldTermStructure > const &,Natural,bool,bool,Date const &,DayCounter const &,bool,CreditDefaultSwap::PricingModel)

….

….

 

The type of the is …. model <QuantLib.QuantLib.MidPointCdsEngine; proxy of <Swig Object of type 'ext::shared_ptr< MidPointCdsEngine > *' at 0x000001150752E4E0> > <class 'QuantLib.QuantLib.MidPointCdsEngine'>

 

Not sure if there is something that I am doing wrong or there is a bug…

 

Code below….

 

import QuantLib as ql

 

def convert_spreads(    upfront,    running_spread,    recovery_rate,    notional,    maturity_date,    today=None,    coupon_frequency=4,    day_count=ql.Thirty360(),    calendar=ql.TARGET(),):

  

    flat_ts = ql.FlatForward(today, 0.0, day_count, ql.Compounded, ql.Annual)

    yield_curve_handle = ql.YieldTermStructureHandle(flat_ts)

 

    upfront_quote =  ql.QuoteHandle(ql.SimpleQuote(upfront))

    running_spread_quote =running_spread# ql.QuoteHandle(ql.SimpleQuote(running_spread))

    

    hazard_rate_structure = upfront_quote

    default_probability_curve = ql.FlatHazardRate(0, calendar, hazard_rate_structure, day_count)

    MidpointEngine = ql.MidPointCdsEngine( ql.DefaultProbabilityTermStructureHandle(default_probability_curve),recovery_rate,yield_curve_handle, )

 

    settlementDays=2

    tenor=ql.Period(5,ql.Years)

    frequency= ql.Quarterly

    paymentConvention=ql.Following

    rule=ql.DateGeneration.TwentiethIMM

    dayCounter=ql.Actual365Fixed()

    upfrontSettlementDays=3

    settlesAccrual =True

    paysAtDefaultTime=True

    startDate=today

    lastPeriodDayCounter=ql.Actual365Fixed()

    rebatesAccrual=True

    model=MidpointEngine

    

    print('=============================================================================================================================')

    print('upfront_quote',upfront_quote,type(upfront_quote))                                        # const Handle< Quote > &   upfront,

    print('upfront',upfront,type(upfront))                                                          # Rate  runningSpread

    print('running_spread_quote',running_spread_quote,type(running_spread_quote))                   # Rate  runningSpread,

    print('tenor',tenor,type(tenor))                                                                # const Period &    tenor,

    print('settlementDays',settlementDays,type(settlementDays))                                     # Integer   settlementDays,

    print('calendar',calendar,type(calendar))                                                       # const Calendar &  calendar,     

    print('frequency',frequency,type(frequency))                                                    # Frequency     frequency,

    print('paymentConvention',paymentConvention,type(paymentConvention))                            # BusinessDayConvention     paymentConvention,

    print('rule',rule,type(rule))                                                                   # DateGeneration::Rule  rule,

    print('dayCounter',dayCounter,type(dayCounter))                                                 # const DayCounter &    dayCounter,

    print('recovery_rate',recovery_rate,type(recovery_rate))                                        # Real  recoveryRate,

    print('yield_curve_handle',yield_curve_handle,type(yield_curve_handle))                         # const Handle< YieldTermStructure > &  discountCurve,  

    print('upfrontSettlementDays',upfrontSettlementDays,type(upfrontSettlementDays))                # Natural   upfrontSettlementDays = 3,

    print('settlesAccrual',settlesAccrual,type(settlesAccrual))                                     # bool  settlesAccrual = true,

    print('paysAtDefaultTime',paysAtDefaultTime,type(paysAtDefaultTime))                            # bool  paysAtDefaultTime = true,

    print('startDate',startDate,type(startDate))                                                    # const Date &  startDate = Date(),

    print('lastPeriodDayCounter',lastPeriodDayCounter,type(lastPeriodDayCounter))                   # const DayCounter &    lastPeriodDayCounter = DayCounter(),     

    print('rebatesAccrual',rebatesAccrual,type(rebatesAccrual))                                     # bool  rebatesAccrual = true,    

    print('model',model,type(model))                                                                # CreditDefaultSwap::PricingModel   model = CreditDefaultSwap::Midpoint 

    print('=============================================================================================================================')

 

    helper = ql.UpfrontCdsHelper(

        upfront,                                        # Rate  runningSpread / const Handle< Quote > &     upfront,

        running_spread_quote,                           # Rate  runningSpread,

        tenor,                                          # const Period &    tenor,

        settlementDays,                                 # Integer   settlementDays,

        calendar,                                       # const Calendar &  calendar,     

        frequency,                                      # Frequency     frequency,

        paymentConvention,                              # BusinessDayConvention     paymentConvention,

        rule,                                           # DateGeneration::Rule  rule,

        dayCounter,                                     # const DayCounter &    dayCounter,

        recovery_rate,                                  # Real  recoveryRate,

        yield_curve_handle,                             # const Handle< YieldTermStructure > &  discountCurve, 

        upfrontSettlementDays,                          # Natural   upfrontSettlementDays = 3,

        settlesAccrual,                                 # bool  settlesAccrual = true,

        paysAtDefaultTime,                              # bool  paysAtDefaultTime = true,

        startDate,                                      # const Date &  startDate = Date(),

        lastPeriodDayCounter,                           # const DayCounter &    lastPeriodDayCounter = DayCounter(), 

        rebatesAccrual,                                 # bool  rebatesAccrual = true,

    #    model,                                          # CreditDefaultSwap::PricingModel  model = CreditDefaultSwap::Midpoint 

        )

     

    fair_running_spread = helper.impliedQuote()

 

    return  fair_running_spread

 

if __name__ == "__main__":

    upfront = 0.01

    running_spread = 0.012

    recovery_rate = 0.4

    notional = 1e7

    maturity_date = ql.Date(20,12,2028)

    

    today = ql.Date(3,4,2023)

    ql.Settings.instance().setEvaluationDate(today)

    fair_upfront, fair_running_spread = convert_spreads(upfront, running_spread, recovery_rate, notional, maturity_date, today    )

 

    print(f"Fair Running Spread: {fair_running_spread:.4f}")

 

 

 

 

 

From: Luigi Ballabio <lui...@gm... <mailto:lui...@gm...> > 
Sent: Monday, April 3, 2023 6:04 PM
To: Ben Watson <ben...@ma... <mailto:ben...@ma...> >
Cc: QuantLib Users <qua...@li... <mailto:qua...@li...> >
Subject: Re: CDS quoted spread v Running/par spread calculator

 

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... <mailto: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... <mailto:ben...@ma...> > 
Sent: Thursday, March 30, 2023 10:54 AM
To: 'QuantLib Users' <qua...@li... <mailto:qua...@li...> >; 'Luigi Ballabio' <lui...@gm... <mailto: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 

_______________________________________________
QuantLib-users mailing list
Qua...@li... <mailto:Qua...@li...> 
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Quantlib-users] ORE v9 is out

[Roland L. <rol...@ac...>]

Dear all,

our next ORE release is out on https://github.com/OpenSourceRisk

As announced, we have rolled out a range of credit and bond derivatives this time,
see the release notes for details.

Moreover,

  *   American Monte Carlo simulation is integrated now (Example 39)
  *   par sensitivity analysis has been added (Example 40)
  *   there are additional parametric VaR types including Delta-Gamma Saddlepoint
  *   we have added multi-threading support to sensitivity analysis and exposure simulation (Example 41)
  *   And finally, our ORE Python module can now be installed with “pip install open-source-risk-engine”, and it allows querying ORE results and amending inputs in memory within the Python framework. See Example 42 for a start and more examples in the ORE SWIG repository.

Please explore, all feedback is welcome!

And join us at the Acadia Quant Summit in London this month https://www.acadia.inc/quant-summit-london to see and discuss ORE.

Best wishes,
Roland
Roland Lichters
Quantitative Services
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Re: [Quantlib-users] error C2039: 'rate': is not member of 'QuantLib::io

[Jonathan S. <sw...@gm...>]

Hi Donghee,

   1. All of the cpp files including fixedratebond.cpp are compiled and
   then linked together into the QuantLib library, so yes they are essential
   in the way that the library is currently built. But as a user of the
   QuantLib library, you don’t need to use any of the features that you don’t
   need.

   2. In order to use QuantLib::io::rate you will need to include the
   appropriate header file, just like using a function defined in any other
   library. Please trying adding the following line at the top of all files
   where you use QuantLib::io::rate:

   #include <ql/utilities/dataformatters.hpp>



2023년 4월 4일 (화) 23:48, Donghee Shim <dh7...@gm...>님이 작성:

> Dear exports!
>
> Very sorry for my novice questions!
>
> I have 2 questions.
>
> What is the purpose of many .cpp files such as fixedratebond.cpp? Are they
> essential in Quantlib?
>
>
>
> 2. At my code I used “std::cout << io::rate(couponRates[i])”,
>
> error occurred “error C2039: 'rate': is not member of 'QuantLib::io“
>
> (I included using namespace QuantLib; at the front)
>
> When I attached the prefix “std::cout <<
> Quantlib::io::rate(couponRates[i])’,
>
> the same error occurred.
>
>
>
> Thanks!
>
> Best Regards
>
> Shim Donghee
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

[Quantlib-users] error C2039: 'rate': is not member of 'QuantLib::io

[Donghee S. <dh7...@gm...>]

Dear exports!

Very sorry for my novice questions!

I have 2 questions.

What is the purpose of many .cpp files such as fixedratebond.cpp? Are they
essential in Quantlib?



2. At my code I used “std::cout << io::rate(couponRates[i])”,

error occurred “error C2039: 'rate': is not member of 'QuantLib::io“

(I included using namespace QuantLib; at the front)

When I attached the prefix “std::cout <<
Quantlib::io::rate(couponRates[i])’,

the same error occurred.



Thanks!

Best Regards

Shim Donghee

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

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

Happy to when I can get it working.

 

From: Jack G <jac...@gm...> 
Sent: Tuesday, April 4, 2023 2:09 PM
To: Ben Watson <ben...@ma...>
Cc: Luigi Ballabio <lui...@gm...>; QuantLib Users <qua...@li...>
Subject: Re: [Quantlib-users] CDS quoted spread v Running/par spread calculator

 

Ben,

 

Please do consider helping us fix the documentation issues you describe by contributing to the python docs here, once you have got it working: https://quantlib-python-docs.readthedocs.io/en/latest/

 

Many thanks!

Jack

 

 

On Tue, 4 Apr 2023, 11:57 Ben Watson, <ben...@ma... <mailto:ben...@ma...> > wrote:

Thank you Luigi,

 

Thank you for this – looks promising, but not a lot doco on UpfrontCdsHelper to work with.  But I have put together a function to test this out. The code also print the all the types of the inputs to the UpfrontCdsHelper to make sure I am passing the correct types.

 

I got ‘kind of’ close to get it working, but….

 

If I leave the model (being the MidpointEngine) out of the UpfrontCdsHelper caller function, it throws no error, except that I get the following error when calling impliedQuote

 

  return _QuantLib.DefaultProbabilityHelper_impliedQuote(self)

RuntimeError: Boost assertion failed: px != 0

 

If I include the MidpointEngine I get the following error

 

TypeError: Wrong number or type of arguments for overloaded function 'new_UpfrontCdsHelper'.

  Possible C/C++ prototypes are:….

…

…

UpfrontCdsHelper::UpfrontCdsHelper(Rate,Rate,Period const &,Integer,Calendar const &,Frequency,BusinessDayConvention,DateGeneration::Rule,DayCounter const &,Real,Handle< YieldTermStructure > const &,Natural,bool,bool,Date const &,DayCounter const &,bool,CreditDefaultSwap::PricingModel)

….

….

 

The type of the is …. model <QuantLib.QuantLib.MidPointCdsEngine; proxy of <Swig Object of type 'ext::shared_ptr< MidPointCdsEngine > *' at 0x000001150752E4E0> > <class 'QuantLib.QuantLib.MidPointCdsEngine'>

 

Not sure if there is something that I am doing wrong or there is a bug…

 

Code below….

 

import QuantLib as ql

 

def convert_spreads(    upfront,    running_spread,    recovery_rate,    notional,    maturity_date,    today=None,    coupon_frequency=4,    day_count=ql.Thirty360(),    calendar=ql.TARGET(),):

  

    flat_ts = ql.FlatForward(today, 0.0, day_count, ql.Compounded, ql.Annual)

    yield_curve_handle = ql.YieldTermStructureHandle(flat_ts)

 

    upfront_quote =  ql.QuoteHandle(ql.SimpleQuote(upfront))

    running_spread_quote =running_spread# ql.QuoteHandle(ql.SimpleQuote(running_spread))

    

    hazard_rate_structure = upfront_quote

    default_probability_curve = ql.FlatHazardRate(0, calendar, hazard_rate_structure, day_count)

    MidpointEngine = ql.MidPointCdsEngine( ql.DefaultProbabilityTermStructureHandle(default_probability_curve),recovery_rate,yield_curve_handle, )

 

    settlementDays=2

    tenor=ql.Period(5,ql.Years)

    frequency= ql.Quarterly

    paymentConvention=ql.Following

    rule=ql.DateGeneration.TwentiethIMM

    dayCounter=ql.Actual365Fixed()

    upfrontSettlementDays=3

    settlesAccrual =True

    paysAtDefaultTime=True

    startDate=today

    lastPeriodDayCounter=ql.Actual365Fixed()

    rebatesAccrual=True

    model=MidpointEngine

    

    print('=============================================================================================================================')

    print('upfront_quote',upfront_quote,type(upfront_quote))                                        # const Handle< Quote > &   upfront,

    print('upfront',upfront,type(upfront))                                                          # Rate  runningSpread

    print('running_spread_quote',running_spread_quote,type(running_spread_quote))                   # Rate  runningSpread,

    print('tenor',tenor,type(tenor))                                                                # const Period &    tenor,

    print('settlementDays',settlementDays,type(settlementDays))                                     # Integer   settlementDays,

    print('calendar',calendar,type(calendar))                                                       # const Calendar &  calendar,     

    print('frequency',frequency,type(frequency))                                                    # Frequency     frequency,

    print('paymentConvention',paymentConvention,type(paymentConvention))                            # BusinessDayConvention     paymentConvention,

    print('rule',rule,type(rule))                                                                   # DateGeneration::Rule  rule,

    print('dayCounter',dayCounter,type(dayCounter))                                                 # const DayCounter &    dayCounter,

    print('recovery_rate',recovery_rate,type(recovery_rate))                                        # Real  recoveryRate,

    print('yield_curve_handle',yield_curve_handle,type(yield_curve_handle))                         # const Handle< YieldTermStructure > &  discountCurve,  

    print('upfrontSettlementDays',upfrontSettlementDays,type(upfrontSettlementDays))                # Natural   upfrontSettlementDays = 3,

    print('settlesAccrual',settlesAccrual,type(settlesAccrual))                                     # bool  settlesAccrual = true,

    print('paysAtDefaultTime',paysAtDefaultTime,type(paysAtDefaultTime))                            # bool  paysAtDefaultTime = true,

    print('startDate',startDate,type(startDate))                                                    # const Date &  startDate = Date(),

    print('lastPeriodDayCounter',lastPeriodDayCounter,type(lastPeriodDayCounter))                   # const DayCounter &    lastPeriodDayCounter = DayCounter(),     

    print('rebatesAccrual',rebatesAccrual,type(rebatesAccrual))                                     # bool  rebatesAccrual = true,    

    print('model',model,type(model))                                                                # CreditDefaultSwap::PricingModel   model = CreditDefaultSwap::Midpoint 

    print('=============================================================================================================================')

 

    helper = ql.UpfrontCdsHelper(

        upfront,                                        # Rate  runningSpread / const Handle< Quote > &     upfront,

        running_spread_quote,                           # Rate  runningSpread,

        tenor,                                          # const Period &    tenor,

        settlementDays,                                 # Integer   settlementDays,

        calendar,                                       # const Calendar &  calendar,     

        frequency,                                      # Frequency     frequency,

        paymentConvention,                              # BusinessDayConvention     paymentConvention,

        rule,                                           # DateGeneration::Rule  rule,

        dayCounter,                                     # const DayCounter &    dayCounter,

        recovery_rate,                                  # Real  recoveryRate,

        yield_curve_handle,                             # const Handle< YieldTermStructure > &  discountCurve, 

        upfrontSettlementDays,                          # Natural   upfrontSettlementDays = 3,

        settlesAccrual,                                 # bool  settlesAccrual = true,

        paysAtDefaultTime,                              # bool  paysAtDefaultTime = true,

        startDate,                                      # const Date &  startDate = Date(),

        lastPeriodDayCounter,                           # const DayCounter &    lastPeriodDayCounter = DayCounter(), 

        rebatesAccrual,                                 # bool  rebatesAccrual = true,

    #    model,                                          # CreditDefaultSwap::PricingModel  model = CreditDefaultSwap::Midpoint 

        )

     

    fair_running_spread = helper.impliedQuote()

 

    return  fair_running_spread

 

if __name__ == "__main__":

    upfront = 0.01

    running_spread = 0.012

    recovery_rate = 0.4

    notional = 1e7

    maturity_date = ql.Date(20,12,2028)

    

    today = ql.Date(3,4,2023)

    ql.Settings.instance().setEvaluationDate(today)

    fair_upfront, fair_running_spread = convert_spreads(upfront, running_spread, recovery_rate, notional, maturity_date, today    )

 

    print(f"Fair Running Spread: {fair_running_spread:.4f}")

 

 

 

 

 

From: Luigi Ballabio <lui...@gm... <mailto:lui...@gm...> > 
Sent: Monday, April 3, 2023 6:04 PM
To: Ben Watson <ben...@ma... <mailto:ben...@ma...> >
Cc: QuantLib Users <qua...@li... <mailto:qua...@li...> >
Subject: Re: CDS quoted spread v Running/par spread calculator

 

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... <mailto: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... <mailto:ben...@ma...> > 
Sent: Thursday, March 30, 2023 10:54 AM
To: 'QuantLib Users' <qua...@li... <mailto:qua...@li...> >; 'Luigi Ballabio' <lui...@gm... <mailto: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 

_______________________________________________
QuantLib-users mailing list
Qua...@li... <mailto:Qua...@li...> 
https://lists.sourceforge.net/lists/listinfo/quantlib-users

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

[Jack G <jac...@gm...>]

Ben,

Please do consider helping us fix the documentation issues you describe by
contributing to the python docs here, once you have got it working:
https://quantlib-python-docs.readthedocs.io/en/latest/

Many thanks!
Jack


On Tue, 4 Apr 2023, 11:57 Ben Watson, <ben...@ma...>
wrote:

> Thank you Luigi,
>
>
>
> Thank you for this – looks promising, but not a lot doco on UpfrontCdsHelper
> to work with.  But I have put together a function to test this out. The
> code also print the all the types of the inputs to the UpfrontCdsHelper to
> make sure I am passing the correct types.
>
>
>
> I got ‘kind of’ close to get it working, but….
>
>
>
> If I leave the model (being the MidpointEngine) out of the
> UpfrontCdsHelper caller function, it throws no error, except that I get the
> following error when calling impliedQuote
>
>
>
>   return _QuantLib.DefaultProbabilityHelper_impliedQuote(self)
>
> RuntimeError: Boost assertion failed: px != 0
>
>
>
> If I include the MidpointEngine I get the following error
>
>
>
> TypeError: Wrong number or type of arguments for overloaded function
> 'new_UpfrontCdsHelper'.
>
>   Possible C/C++ prototypes are:….
>
> …
>
> …
>
> UpfrontCdsHelper::UpfrontCdsHelper(Rate,Rate,Period const
> &,Integer,Calendar const
> &,Frequency,BusinessDayConvention,DateGeneration::Rule,DayCounter const
> &,Real,Handle< YieldTermStructure > const &,Natural,bool,bool,Date const
> &,DayCounter const &,bool,CreditDefaultSwap::PricingModel)
>
> ….
>
> ….
>
>
>
> The type of the is …. model <QuantLib.QuantLib.MidPointCdsEngine; proxy
> of <Swig Object of type 'ext::shared_ptr< MidPointCdsEngine > *' at
> 0x000001150752E4E0> > <class 'QuantLib.QuantLib.MidPointCdsEngine'>
>
>
>
> Not sure if there is something that I am doing wrong or there is a bug…
>
>
>
> Code below….
>
>
>
> import QuantLib as ql
>
>
>
> def convert_spreads(    upfront,    running_spread,    recovery_rate,
> notional,    maturity_date,    today=None,    coupon_frequency=4,
> day_count=ql.Thirty360(),    calendar=ql.TARGET(),):
>
>
>
>     flat_ts = ql.FlatForward(today, 0.0, day_count, ql.Compounded, ql.
> Annual)
>
>     yield_curve_handle = ql.YieldTermStructureHandle(flat_ts)
>
>
>
>     upfront_quote =  ql.QuoteHandle(ql.SimpleQuote(upfront))
>
>     running_spread_quote =running_spread#
> ql.QuoteHandle(ql.SimpleQuote(running_spread))
>
>
>
>     hazard_rate_structure = upfront_quote
>
>     default_probability_curve = ql.FlatHazardRate(0, calendar,
> hazard_rate_structure, day_count)
>
>     MidpointEngine = ql.MidPointCdsEngine( ql.
> DefaultProbabilityTermStructureHandle(default_probability_curve),
> recovery_rate,yield_curve_handle, )
>
>
>
>     settlementDays=2
>
>     tenor=ql.Period(5,ql.Years)
>
>     frequency= ql.Quarterly
>
>     paymentConvention=ql.Following
>
>     rule=ql.DateGeneration.TwentiethIMM
>
>     dayCounter=ql.Actual365Fixed()
>
>     upfrontSettlementDays=3
>
>     settlesAccrual =True
>
>     paysAtDefaultTime=True
>
>     startDate=today
>
>     lastPeriodDayCounter=ql.Actual365Fixed()
>
>     rebatesAccrual=True
>
>     model=MidpointEngine
>
>
>
>     print(
> '============================================================================================================================='
> )
>
>     print('upfront_quote',upfront_quote,type(upfront_quote))
>                            # const Handle< Quote > &   upfront,
>
>     print('upfront',upfront,type(upfront))
>                            # Rate  runningSpread
>
>     print('running_spread_quote',running_spread_quote,type(
> running_spread_quote))                   # Rate  runningSpread,
>
>     print('tenor',tenor,type(tenor))
>                            # const Period &    tenor,
>
>     print('settlementDays',settlementDays,type(settlementDays))
>                           # Integer   settlementDays,
>
>     print('calendar',calendar,type(calendar))
>                           # const Calendar &  calendar,
>
>     print('frequency',frequency,type(frequency))
>                            # Frequency     frequency,
>
>     print('paymentConvention',paymentConvention,type(paymentConvention))
>                            # BusinessDayConvention     paymentConvention,
>
>     print('rule',rule,type(rule))
>                           # DateGeneration::Rule  rule,
>
>     print('dayCounter',dayCounter,type(dayCounter))
>                           # const DayCounter &    dayCounter,
>
>     print('recovery_rate',recovery_rate,type(recovery_rate))
>                            # Real  recoveryRate,
>
>     print('yield_curve_handle',yield_curve_handle,type(yield_curve_handle))
>                         # const Handle< YieldTermStructure > &
>  discountCurve,
>
>     print('upfrontSettlementDays',upfrontSettlementDays,type(
> upfrontSettlementDays))                # Natural   upfrontSettlementDays
> = 3,
>
>     print('settlesAccrual',settlesAccrual,type(settlesAccrual))
>                           # bool  settlesAccrual = true,
>
>     print('paysAtDefaultTime',paysAtDefaultTime,type(paysAtDefaultTime))
>                            # bool  paysAtDefaultTime = true,
>
>     print('startDate',startDate,type(startDate))
>                            # const Date &  startDate = Date(),
>
>     print('lastPeriodDayCounter',lastPeriodDayCounter,type(
> lastPeriodDayCounter))                   # const DayCounter &
>  lastPeriodDayCounter = DayCounter(),
>
>     print('rebatesAccrual',rebatesAccrual,type(rebatesAccrual))
>                           # bool  rebatesAccrual = true,
>
>     print('model',model,type(model))
>                            # CreditDefaultSwap::PricingModel   model =
> CreditDefaultSwap::Midpoint
>
>     print(
> '============================================================================================================================='
> )
>
>
>
>     helper = ql.UpfrontCdsHelper(
>
>         upfront,                                        # Rate
>  runningSpread / const Handle< Quote > &     upfront,
>
>         running_spread_quote,                           # Rate
>  runningSpread,
>
>         tenor,                                          # const Period &
>    tenor,
>
>         settlementDays,                                 # Integer
> settlementDays,
>
>         calendar,                                       # const Calendar
> &  calendar,
>
>         frequency,                                      # Frequency
> frequency,
>
>         paymentConvention,                              #
> BusinessDayConvention     paymentConvention,
>
>         rule,                                           #
> DateGeneration::Rule  rule,
>
>         dayCounter,                                     # const
> DayCounter &    dayCounter,
>
>         recovery_rate,                                  # Real
>  recoveryRate,
>
>         yield_curve_handle,                             # const Handle<
> YieldTermStructure > &  discountCurve,
>
>         upfrontSettlementDays,                          # Natural
> upfrontSettlementDays = 3,
>
>         settlesAccrual,                                 # bool
>  settlesAccrual = true,
>
>         paysAtDefaultTime,                              # bool
>  paysAtDefaultTime = true,
>
>         startDate,                                      # const Date &
>  startDate = Date(),
>
>         lastPeriodDayCounter,                           # const
> DayCounter &    lastPeriodDayCounter = DayCounter(),
>
>         rebatesAccrual,                                 # bool
>  rebatesAccrual = true,
>
>     #    model,                                          #
> CreditDefaultSwap::PricingModel  model = CreditDefaultSwap::Midpoint
>
>         )
>
>
>
>     fair_running_spread = helper.impliedQuote()
>
>
>
>     return  fair_running_spread
>
>
>
> if __name__ == "__main__":
>
>     upfront = 0.01
>
>     running_spread = 0.012
>
>     recovery_rate = 0.4
>
>     notional = 1e7
>
>     maturity_date = ql.Date(20,12,2028)
>
>
>
>     today = ql.Date(3,4,2023)
>
>     ql.Settings.instance().setEvaluationDate(today)
>
>     fair_upfront, fair_running_spread = convert_spreads(upfront,
> running_spread, recovery_rate, notional, maturity_date, today    )
>
>
>
>     print(f"Fair Running Spread: {fair_running_spread:.4f}")
>
>
>
>
>
>
>
>
>
>
>
> *From:* Luigi Ballabio <lui...@gm...>
> *Sent:* Monday, April 3, 2023 6:04 PM
> *To:* Ben Watson <ben...@ma...>
> *Cc:* QuantLib Users <qua...@li...>
> *Subject:* Re: CDS quoted spread v Running/par spread calculator
>
>
>
> 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
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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

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

Thank you Luigi,

 

Thank you for this – looks promising, but not a lot doco on UpfrontCdsHelper to work with.  But I have put together a function to test this out. The code also print the all the types of the inputs to the UpfrontCdsHelper to make sure I am passing the correct types.

 

I got ‘kind of’ close to get it working, but….

 

If I leave the model (being the MidpointEngine) out of the UpfrontCdsHelper caller function, it throws no error, except that I get the following error when calling impliedQuote

 

  return _QuantLib.DefaultProbabilityHelper_impliedQuote(self)

RuntimeError: Boost assertion failed: px != 0

 

If I include the MidpointEngine I get the following error

 

TypeError: Wrong number or type of arguments for overloaded function 'new_UpfrontCdsHelper'.

  Possible C/C++ prototypes are:….

…

…

UpfrontCdsHelper::UpfrontCdsHelper(Rate,Rate,Period const &,Integer,Calendar const &,Frequency,BusinessDayConvention,DateGeneration::Rule,DayCounter const &,Real,Handle< YieldTermStructure > const &,Natural,bool,bool,Date const &,DayCounter const &,bool,CreditDefaultSwap::PricingModel)

….

….

 

The type of the is …. model <QuantLib.QuantLib.MidPointCdsEngine; proxy of <Swig Object of type 'ext::shared_ptr< MidPointCdsEngine > *' at 0x000001150752E4E0> > <class 'QuantLib.QuantLib.MidPointCdsEngine'>

 

Not sure if there is something that I am doing wrong or there is a bug…

 

Code below….

 

import QuantLib as ql

 

def convert_spreads(    upfront,    running_spread,    recovery_rate,    notional,    maturity_date,    today=None,    coupon_frequency=4,    day_count=ql.Thirty360(),    calendar=ql.TARGET(),):

  

    flat_ts = ql.FlatForward(today, 0.0, day_count, ql.Compounded, ql.Annual)

    yield_curve_handle = ql.YieldTermStructureHandle(flat_ts)

 

    upfront_quote =  ql.QuoteHandle(ql.SimpleQuote(upfront))

    running_spread_quote =running_spread# ql.QuoteHandle(ql.SimpleQuote(running_spread))

    

    hazard_rate_structure = upfront_quote

    default_probability_curve = ql.FlatHazardRate(0, calendar, hazard_rate_structure, day_count)

    MidpointEngine = ql.MidPointCdsEngine( ql.DefaultProbabilityTermStructureHandle(default_probability_curve),recovery_rate,yield_curve_handle, )

 

    settlementDays=2

    tenor=ql.Period(5,ql.Years)

    frequency= ql.Quarterly

    paymentConvention=ql.Following

    rule=ql.DateGeneration.TwentiethIMM

    dayCounter=ql.Actual365Fixed()

    upfrontSettlementDays=3

    settlesAccrual =True

    paysAtDefaultTime=True

    startDate=today

    lastPeriodDayCounter=ql.Actual365Fixed()

    rebatesAccrual=True

    model=MidpointEngine

    

    print('=============================================================================================================================')

    print('upfront_quote',upfront_quote,type(upfront_quote))                                        # const Handle< Quote > &   upfront,

    print('upfront',upfront,type(upfront))                                                          # Rate  runningSpread

    print('running_spread_quote',running_spread_quote,type(running_spread_quote))                   # Rate  runningSpread,

    print('tenor',tenor,type(tenor))                                                                # const Period &    tenor,

    print('settlementDays',settlementDays,type(settlementDays))                                     # Integer   settlementDays,

    print('calendar',calendar,type(calendar))                                                       # const Calendar &  calendar,     

    print('frequency',frequency,type(frequency))                                                    # Frequency     frequency,

    print('paymentConvention',paymentConvention,type(paymentConvention))                            # BusinessDayConvention     paymentConvention,

    print('rule',rule,type(rule))                                                                   # DateGeneration::Rule  rule,

    print('dayCounter',dayCounter,type(dayCounter))                                                 # const DayCounter &    dayCounter,

    print('recovery_rate',recovery_rate,type(recovery_rate))                                        # Real  recoveryRate,

    print('yield_curve_handle',yield_curve_handle,type(yield_curve_handle))                         # const Handle< YieldTermStructure > &  discountCurve,  

    print('upfrontSettlementDays',upfrontSettlementDays,type(upfrontSettlementDays))                # Natural   upfrontSettlementDays = 3,

    print('settlesAccrual',settlesAccrual,type(settlesAccrual))                                     # bool  settlesAccrual = true,

    print('paysAtDefaultTime',paysAtDefaultTime,type(paysAtDefaultTime))                            # bool  paysAtDefaultTime = true,

    print('startDate',startDate,type(startDate))                                                    # const Date &  startDate = Date(),

    print('lastPeriodDayCounter',lastPeriodDayCounter,type(lastPeriodDayCounter))                   # const DayCounter &    lastPeriodDayCounter = DayCounter(),     

    print('rebatesAccrual',rebatesAccrual,type(rebatesAccrual))                                     # bool  rebatesAccrual = true,    

    print('model',model,type(model))                                                                # CreditDefaultSwap::PricingModel   model = CreditDefaultSwap::Midpoint 

    print('=============================================================================================================================')

 

    helper = ql.UpfrontCdsHelper(

        upfront,                                        # Rate  runningSpread / const Handle< Quote > &     upfront,

        running_spread_quote,                           # Rate  runningSpread,

        tenor,                                          # const Period &    tenor,

        settlementDays,                                 # Integer   settlementDays,

        calendar,                                       # const Calendar &  calendar,     

        frequency,                                      # Frequency     frequency,

        paymentConvention,                              # BusinessDayConvention     paymentConvention,

        rule,                                           # DateGeneration::Rule  rule,

        dayCounter,                                     # const DayCounter &    dayCounter,

        recovery_rate,                                  # Real  recoveryRate,

        yield_curve_handle,                             # const Handle< YieldTermStructure > &  discountCurve, 

        upfrontSettlementDays,                          # Natural   upfrontSettlementDays = 3,

        settlesAccrual,                                 # bool  settlesAccrual = true,

        paysAtDefaultTime,                              # bool  paysAtDefaultTime = true,

        startDate,                                      # const Date &  startDate = Date(),

        lastPeriodDayCounter,                           # const DayCounter &    lastPeriodDayCounter = DayCounter(), 

        rebatesAccrual,                                 # bool  rebatesAccrual = true,

    #    model,                                          # CreditDefaultSwap::PricingModel  model = CreditDefaultSwap::Midpoint 

        )

     

    fair_running_spread = helper.impliedQuote()

 

    return  fair_running_spread

 

if __name__ == "__main__":

    upfront = 0.01

    running_spread = 0.012

    recovery_rate = 0.4

    notional = 1e7

    maturity_date = ql.Date(20,12,2028)

    

    today = ql.Date(3,4,2023)

    ql.Settings.instance().setEvaluationDate(today)

    fair_upfront, fair_running_spread = convert_spreads(upfront, running_spread, recovery_rate, notional, maturity_date, today    )

 

    print(f"Fair Running Spread: {fair_running_spread:.4f}")

 

 

 

 

 

From: Luigi Ballabio <lui...@gm...> 
Sent: Monday, April 3, 2023 6:04 PM
To: Ben Watson <ben...@ma...>
Cc: QuantLib Users <qua...@li...>
Subject: Re: CDS quoted spread v Running/par spread calculator

 

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... <mailto: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... <mailto:ben...@ma...> > 
Sent: Thursday, March 30, 2023 10:54 AM
To: 'QuantLib Users' <qua...@li... <mailto:qua...@li...> >; 'Luigi Ballabio' <lui...@gm... <mailto: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 

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
>
>

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 

Re: [Quantlib-users] OvernightIndexedCouponPricer::averageRate when "the last fixing is not used for its full period"

[Peter C. <pca...@gm...>]

Quick question on this: I am looking at this code

                        // The last fixing is not used for its full
period (the date is between its
                        // start and end date).  We can use the
telescopic formula until the previous
                        // date, then we'll add the missing bit.
                        const DiscountFactor endDiscount =
curve->discount(valueDates[n-1]);
                        compoundFactor *= startDiscount / endDiscount;

                        Rate fixing = index->fixing(fixingDates[n-1]);
                        Time span =
index->dayCounter().yearFraction(valueDates[n-1], date);
                        compoundFactor *= (1.0 + fixing * span);

and I am wondering why we don't just do

                        const DiscountFactor endDiscount =
curve->discount(date);
                        compoundFactor *= startDiscount / endDiscount;

instead, i.e. what is the benefit of separating out the last fixing
and compute its contribution exactly while we use the telescopic
approximation for all previous fixings anyway?

Thanks
Peter



On Tue, 28 Mar 2023 at 16:11, Luigi Ballabio <lui...@gm...> wrote:
>
> Hello,
>     no, unfortunately rate cutoff is not implemented yet.  I think it's for coupons that end on a holiday, but I don't know if that's an ISDA rule.
>
> Luigi
>
> On Mon, Jan 30, 2023 at 1:16 PM Ioannis Rigopoulos <qua...@de...> wrote:
>>
>> Hi Tom,
>>
>> It is a financial feature part of the OIS term sheet and called "Rate
>> Cutoff". I have written about this at
>> https://www.deriscope.com/products/Key_OI_Term_Rate__Rate_Cutoff.html
>>
>> Regards,
>>
>> Ioannis
>>
>> On 1/30/2023 12:38 PM, Tom Anderson wrote:
>> > Hello,
>> >
>> > I have a rather basic question.
>> > OvernightIndexedCouponPricer::averageRate has a special case for when
>> > "the last fixing is not used for its full period":
>> >
>> > https://github.com/lballabio/QuantLib/blob/38bf3fa4a728d82a9975b2ae5fb86eee0433f3ce/ql/cashflows/overnightindexedcoupon.cpp#L107
>> >
>> >
>> > Is this for when the coupon ends on a day that is not a business day?
>> > Looking at how the list of dates is put together (in the telescopic
>> > case), that seems to be the only reason the last date would not be the
>> > end of the accrual period:
>> >
>> > https://github.com/lballabio/QuantLib/blob/38bf3fa4a728d82a9975b2ae5fb86eee0433f3ce/ql/cashflows/overnightindexedcoupon.cpp#L188
>> >
>> >
>> > If so, out of interest, does this ultimately flow from ISDA rules for
>> > OISs, or is this just financial common sense?
>> >
>> > Thanks,
>> > tom
>> >
>>
>> --
>> Diese E-Mail wurde von Avast-Antivirussoftware auf Viren geprüft.
>> www.avast.com
>>
>>
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

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

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

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 

Re: [Quantlib-users] OvernightIndexedCouponPricer::averageRate when "the last fixing is not used for its full period"

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

Hello,
    no, unfortunately rate cutoff is not implemented yet.  I think it's for
coupons that end on a holiday, but I don't know if that's an ISDA rule.

Luigi

On Mon, Jan 30, 2023 at 1:16 PM Ioannis Rigopoulos <qua...@de...>
wrote:

> Hi Tom,
>
> It is a financial feature part of the OIS term sheet and called "Rate
> Cutoff". I have written about this at
> https://www.deriscope.com/products/Key_OI_Term_Rate__Rate_Cutoff.html
>
> Regards,
>
> Ioannis
>
> On 1/30/2023 12:38 PM, Tom Anderson wrote:
> > Hello,
> >
> > I have a rather basic question.
> > OvernightIndexedCouponPricer::averageRate has a special case for when
> > "the last fixing is not used for its full period":
> >
> >
> https://github.com/lballabio/QuantLib/blob/38bf3fa4a728d82a9975b2ae5fb86eee0433f3ce/ql/cashflows/overnightindexedcoupon.cpp#L107
> >
> >
> > Is this for when the coupon ends on a day that is not a business day?
> > Looking at how the list of dates is put together (in the telescopic
> > case), that seems to be the only reason the last date would not be the
> > end of the accrual period:
> >
> >
> https://github.com/lballabio/QuantLib/blob/38bf3fa4a728d82a9975b2ae5fb86eee0433f3ce/ql/cashflows/overnightindexedcoupon.cpp#L188
> >
> >
> > If so, out of interest, does this ultimately flow from ISDA rules for
> > OISs, or is this just financial common sense?
> >
> > Thanks,
> > tom
> >
>
> --
> Diese E-Mail wurde von Avast-Antivirussoftware auf Viren geprüft.
> www.avast.com
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] technical indicators

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

Hi Richard,

I am not sure how well-known it is. I used the Python implementation and
seems like it does the job.

Regards,
Serhat

On Sun, Mar 26, 2023, 7:00 PM Rick PT <ric...@gm...> wrote:

> Thank you Serhat.
> Unless I am mistaken, it seems to be super old, is it reliable and
> accepted as it among the quant community?
>
> Le lun. 27 mars 2023 à 00:56, Serhat Güven <ki...@gm...> a écrit :
>
>> Hi Richard,
>>
>> You might want to check the ta-lib library (https://www.ta-lib.org/) for
>> technical indicators.
>>
>> Regards,
>> Serhat
>>
>> On Sun, Mar 26, 2023, 3:08 PM Rick PT <ric...@gm...> wrote:
>>
>>> Good evening,
>>>
>>> I am new to QuantLib and I was looking for the basic indicators (SMA,
>>> RSI, MACD, etc.) but I can't find anything with a simple :  grep -riI
>>> "MACD" .
>>> Are the implementations provided somewhere?
>>>
>>> Thank you,
>>> Richard
>>> _______________________________________________
>>> QuantLib-users mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>
>>

Re: [Quantlib-users] technical indicators

[Rick PT <ric...@gm...>]

Thank you Serhat.
Unless I am mistaken, it seems to be super old, is it reliable and accepted
as it among the quant community?

Le lun. 27 mars 2023 à 00:56, Serhat Güven <ki...@gm...> a écrit :

> Hi Richard,
>
> You might want to check the ta-lib library (https://www.ta-lib.org/) for
> technical indicators.
>
> Regards,
> Serhat
>
> On Sun, Mar 26, 2023, 3:08 PM Rick PT <ric...@gm...> wrote:
>
>> Good evening,
>>
>> I am new to QuantLib and I was looking for the basic indicators (SMA,
>> RSI, MACD, etc.) but I can't find anything with a simple :  grep -riI
>> "MACD" .
>> Are the implementations provided somewhere?
>>
>> Thank you,
>> Richard
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>

Re: [Quantlib-users] technical indicators

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

Hi Richard,

You might want to check the ta-lib library (https://www.ta-lib.org/) for
technical indicators.

Regards,
Serhat

On Sun, Mar 26, 2023, 3:08 PM Rick PT <ric...@gm...> wrote:

> Good evening,
>
> I am new to QuantLib and I was looking for the basic indicators (SMA, RSI,
> MACD, etc.) but I can't find anything with a simple :  grep -riI "MACD" .
> Are the implementations provided somewhere?
>
> Thank you,
> Richard
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>