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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.
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.
Premium Cash Flows
Set containing detailed information about the premium leg cash flows as they conveyed directly from QuantLib.
It holds an object of type Set where each row corresponds to a single cash flow.
The first 3 columns refer to the cash flow's accrual period that hold respectively the start date, end date and time period expressed as year fraction.
The remaining 2 columns hold respectively the date when the cash flow is paid and the cash flow amount.
The output refers to the price of the referenced tradable contract.
Refers to the output of QuantLib's upfrontNPV function.