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2
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vote
0
answers
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Match CDS upfront amount between Quantlib and Markit Converter model
I'm trying to reconciliate the upfront amount between the Markit converter model (https://cds.ihsmarkit.com/converter.jsp) and the result from the quantlib IsdaCdsEngine function.
the difference is ...
- 11
0
votes
1
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Calculating RPV01 for the up-front payment of a CDS contract
I'm trying to calculate the historical P&L of a CDS trading strategy, and am struggling to come up with the up-front payment of the contract. From what I can tell, the Mark-to-Market value of a ...
- 31