Isda Cds

Subtype of Pricing Method

Corresponds to the QuantLib IsdaCdsEngine.
Allows the specification of:
Numerical Fix
Accrual Bias
Forwards In Coupon Period
[1] The Pricing and Risk Management of Credit Default Swaps, with a Focus on the ISDA Model, OpenGamma Quantitative Research, Version as of 15-Oct-2013
[2] ISDA CDS Standard Model Proposed Numerical Fix \ Thursday, November 15, 2012, Markit
[3] Markit Interest Rate Curve XML Specifications, Version 1.16, Tuesday, 15 October 2013