IsdaCdsEngine Class Reference

#include <ql/pricingengines/credit/isdacdsengine.hpp>

Inherits CreditDefaultSwap::engine.

Public Types
enum	NumericalFix { None, Taylor }
enum	AccrualBias { HalfDayBias, NoBias }
enum	ForwardsInCouponPeriod { Flat, Piecewise }

Public Member Functions
	IsdaCdsEngine (const Handle< DefaultProbabilityTermStructure > &probability, Real recoveryRate, const Handle< YieldTermStructure > &discountCurve, const boost::optional< bool > &includeSettlementDateFlows=boost::none, NumericalFix numericalFix=Taylor, AccrualBias accrualBias=HalfDayBias, ForwardsInCouponPeriod forwardsInCouponPeriod=Piecewise)
Handle< YieldTermStructure >	isdaRateCurve () const
Handle< DefaultProbabilityTermStructure >	isdaCreditCurve () const
void	calculate () const

Detailed Description

References:

[1] The Pricing and Risk Management of Credit Default Swaps, with a Focus on the ISDA Model, OpenGamma Quantitative Research, Version as of 15-Oct-2013

[2] ISDA CDS Standard Model Proposed Numerical Fix \ Thursday, November 15, 2012, Markit

[3] Markit Interest Rate Curve XML Specifications, Version 1.16, Tuesday, 15 October 2013

Member Enumeration Documentation

NumericalFix

enum NumericalFix

According to [1] the settings for the flags AccrualBias / ForwardsInCouponPeriod corresponding to the standard model implementation C code are

prior 1.8.2 HalfDayBias / Flat 1.8.2 NoBias / Flat

The theoretical correct setting would be NoBias / Piecewise

Todo: Clarify in which version of the standard model implementation C code the numerical problem of zero denominators is solved and how exactly.

Constructor & Destructor Documentation

IsdaCdsEngine()

IsdaCdsEngine	(	const Handle< DefaultProbabilityTermStructure > &	probability,
		Real	recoveryRate,
		const Handle< YieldTermStructure > &	discountCurve,
		const boost::optional< bool > &	includeSettlementDateFlows = boost::none,
		NumericalFix	numericalFix = Taylor,
		AccrualBias	accrualBias = HalfDayBias,
		ForwardsInCouponPeriod	forwardsInCouponPeriod = Piecewise
	)

Constructor where the client code is responsible for providing a default curve and an interest rate curve compliant with the ISDA specifications.

To be precisely consistent with the ISDA specification static bool IborCoupon::usingAtParCoupons(); must be true. This is not checked in order not to kill the engine completely in this case.

Furthermore, the ibor index in the swap rate helpers should not provide the evaluation date's fixing.