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lballabio / QuantLib

The QuantLib C++ library
http://quantlib.org
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CDS ISDA pricing engine #108

Closed thrasibule closed 7 years ago

thrasibule commented 8 years ago

This is a revival of issue lballabio/quantlib-old#143. I rebased @pcaspers CDS branch on top of current master here thrasibule/QuantLib@1070866 and fixed a couple bugs. On top of fixing the original issue (adding an extra day to the last period of a cds schedule), this branch adds a new ISDA pricer for cds. Using this new pricer, I can now tie exactly the computations of cds upfronts with bloomberg and the JPM/Markit code. I think this would be a great addition to QuantLib. What's the best way of gettings this merged? I can try to squash the branch into a series of logical commits, but since @pcaspers and @japari did most of the work, I don't want to steal their thunder.

pcaspers commented 8 years ago

As far as I am concerned this sounds good, go ahead. Do we have test cases for the ISDA pricer comparing the QL results with some references?

lballabio commented 8 years ago

Yes, it's ok for me if you just open a PR without squashing.

japari commented 8 years ago

Hi, yes, needless to say, in the spirit of the endeavour here. Good point Peter, I endorse it. Best pp

----- Original Message -----

As far as I am concerned this sounds good, go ahead. Do we have test cases for the ISDA pricer comparing the QL results with some references?

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thrasibule commented 8 years ago

Great, I'll try to submit a pull request today. Regarding reference cases, I'll add some tests based on the grids that Markit publish here: http://www.cdsmodel.com/cdsmodel/test-grids.html?

pcaspers commented 8 years ago

Some tests against these values would be perfect. Thanks a lot for your work on this.