CDS__Implied_Hazard_Rate

FunctionThe Implied Hazard Rate price calculation is based on the Model[CDS]::Pricing Method::Mid Point Cds method.

Note this method performs the calculation with the instrument characteristics.

It will coincide with the ISDA calculation if your object has the standard characteristics. Notably:

- The calendar should have no bank holidays, just weekends.

- The yield curve should be LIBOR piecewise constant in fwd rates, with a discount factor of 1 on the calculation date, which coincides with the trade date.

- Convention should be Following for yield curve and contract cashflows.

- The CDS should pay accrued and mature on standard IMM dates, settle on trade date +1 and upfront settle on trade date +3.