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lballabio / QuantLib

The QuantLib C++ library
http://quantlib.org
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rolling frequency for single name CDS (and indices) #138

Closed pcaspers closed 7 years ago

pcaspers commented 8 years ago

Since December 2015

http://www2.isda.org/asset-classes/credit-derivatives/single-name-cds-roll

single name standard CDS contracts change their rolling frequency from 3m to 6m. For index CDS this was already the standard before. I believe we need a new date generation rule to be able to construct the associated schedules correctly.

mdriesch commented 8 years ago

@pcaspers I think #112 (and especially this lines https://github.com/lballabio/QuantLib/pull/112/files#diff-9306c6cf37e9d11df4f1cc28e2a33c1dL101) should take care of that.

lballabio commented 8 years ago

It does, as far as the CDS helper is concerned---thanks Michael, good find. That code could probably be moved to a new generation rule for the Schedule class, as Peter suggested.

mdriesch commented 8 years ago

Just updating the line reference, since the first one doesn't seem to work. Use this Link:. By the way: does anyone know a better way of referencing code lines from a different PR?

pcaspers commented 8 years ago

Thanks Michael @mdriesch, didn't see that. I would also say let's make it a new date generation rule so that it can be used in the helpers and the instrument (and who knows where)