Pricing Off Market CDS


#1

Hello,

I am struggling with various dates when pricing a single name SNAC CDS that has been traded about a 8 months ago and has a few years to go.

Trade date of CDS - 29 March 2016
Maturity date of CDS - 20 June 2021
Today - 12 October 2016

I am interested in pricing the CDS with today’s credit and yield curves. What dates do I need to pass into the following constructor ?

public CdsAnalytic(
LocalDate tradeDate,
LocalDate stepinDate,
LocalDate valueDate,
LocalDate accStartDate,
LocalDate endDate,
…)

Thanks,
Suhas


#2

I think by using following dates I am kind of in the ballpark with Bloomberg. Am I doing it right ?
Thanks.

public CdsAnalytic(
TODAY,
TODAY.plusDays(1),
TODAY,
‘20-SEP-2016’, //previous IMM date which will be accrual start date for this period
LocalDate.of(2021, Month.JUNE, 20)
…)


#3

Have you considered using IsdaCdsPricer? It allows the trade to be represented in a “standard” way using CdsTrade or ResolvedCdsTrade, with the conversion to CdsAnalytic happening internally.

For CdsAnalytic I note that the Javadoc describes the third parameter valueDate as typically being T+3, which may be of interest.