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Model[CDS]"Model[CDS]" is a special type of Model that represents all modelling assumptions needed in valuation algorithms concerning objects of type CDS.
The pricing succeeds by any of 3 different methods listed in Model[CDS]::Pricing Method
Note that under the assumption of zero correlation between interest rates and credit spreads, the present value of a CDS is independent of the stochastic evolution of both of them.
It only depends on survival probabilities and discount factors observed today.
In general, the yield curve used in the construction of the credit curve found in the supplied market data is used for calculating the required discount factors.
Nevertheless the user is able to specify here an optional Issuer that identifies the yield curve to be used exclusively for calculating the discount factors.
The following quantities may be also calculated and reported along the price.
All cash flows displayed in chronological order as a table with a maximum of 18 columns.
The column titles indicate the meaning of the respective data.
The column titled #Notional shows the notional that is relevant for determining the respective cash flow, which is the notional at the beginning of the accrual period.
In the special case of fx reset, this will be the converted domestic notional that arises after the fixed foreign notional is multiplied with the spot fx rate observed at the beginning of the accrual period.
The column titled #AdjIndex shows the adjusted index fixing, which equals the sum of the forecasted (forward) index plus a potential convexity adjustment that arises if the index is either non-ibor or sets in arrears.
The column titled #Leg contains the index of the leg that contains the respective cash flow, where 1 stands for the first leg.
The column titled #InLegCF contains the index of the respective cash flow within the containing leg, where 1 stands for the first cash flow in that leg.
Coupon Leg BPS
Refers to the output of QuantLib's couponLegBPS function.
Returns the variation of the fixed-leg value given a one-basis-point change in the running spread.
Coupon Leg NPV
Refers to the output of QuantLib's couponLegNPV function.
Default Leg NPV
Refers to the output of QuantLib's defaultLegNPV function.
Refers to the output of QuantLib's fairSpread function.
Returns the running spread that, given the quoted recovery rate, will make the running-only CDS have an NPV of 0.
This calculation does not take any upfront into account, even if one was given.
The output refers to the price of the referenced tradable contract.
Refers to the output of QuantLib's upfrontNPV function.