Quantcast

ISDA-CDS Convention Change

classic Classic list List threaded Threaded
2 messages Options
Reply | Threaded
Open this post in threaded view
|  
Report Content as Inappropriate

ISDA-CDS Convention Change

benedict 1

Hi Luigi and everyone here,



I have a question regarding CDS conventions.
Under the old convention, market players roll to a new CDS on the run contract each quarter 20 March, 20 June, 20 Sept, 20 December.

From December 2015, In the new Single-Name CDS Roll, the freqeuncy will be reduced to March and September only. 

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

www2.isda.org
Amending When Single-Name CDS Roll to New ‘On-the-Run’ Contracts

I understand that QuantLib has already factored in the dates under the old convention. Can i ask about the new Convention?
How should i correct for this?



Regards
Benedict


------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, SlashDot.org! http://sdm.link/slashdot
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Reply | Threaded
Open this post in threaded view
|  
Report Content as Inappropriate

Re: ISDA-CDS Convention Change

japari
Hello,
your right, that rule is not there yet.
Have a look at ql/time/dategenerationrule.xpp and ql/time/schedule.cpp.  You will also have the task of giving it a third name...... "CDS_clearing_normalization" ??  <joke> Maybe you can recycle some of the other rules but CDS have all these date idiosyncrasies about the reference period.
Best
pp



Hi Luigi and everyone here,



I have a question regarding CDS conventions.
Under the old convention, market players roll to a new CDS on the run contract each quarter 20 March, 20 June, 20 Sept, 20 December.

From December 2015, In the new Single-Name CDS Roll, the freqeuncy will be reduced to March and September only. 

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

www2.isda.org
Amending When Single-Name CDS Roll to New ‘On-the-Run’ Contracts

I understand that QuantLib has already factored in the dates under the old convention. Can i ask about the new Convention?
How should i correct for this?



Regards
Benedict


------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, SlashDot.org! http://sdm.link/slashdot
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users


------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, SlashDot.org! http://sdm.link/slashdot
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Loading...