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I am becoming more acquainted with QuantLib as a platform. I've been using both the python implementation and QuantLib XL. As I have started to look at CDS, I would like to know if there is a definitive guide to pricing CDS to match the outputs from Bloomberg? I have come across several old threads, but I can't seem to find a definitive successful example. If anyone can point me in the right direction, ideally in Python it would be appreciated.

Thanks

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The isda-engine.py example in the QuantLib-SWIG distribution reproduces Markit prices within fractions of cents.

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You can download the C++ source code to the ISDA Standard CDS model (which JPM contributed) http://www.cdsmodel.com/cdsmodel/cds-disclaimer.html here. Its output will match Bloomberg if you use the same market data (including interest rates), dates, and other inputs.

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  • $\begingroup$ thanks for this. if i am not mistaken this is not a quantlib solution however. $\endgroup$ – dsugasa Mar 21 at 23:16
  • $\begingroup$ This is not quantlib, but another collection of C++ source code, showing how to calculate (risk neutral) survival probabilities or upfront fees from market standard quote spreads, how to pv a swap, etc to match Bloomberg CDSW exactly. If you're really asking how to do these calculations using just quantlib, please rephrase your question, because it's not so clear. $\endgroup$ – Dimitri Vulis Mar 22 at 1:50
  • $\begingroup$ Thanks for your thoughts; this is very helpful $\endgroup$ – dsugasa Mar 22 at 18:09

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