japari/quantlib — pull request #10 by pcaspers (2014-03-15 18:12:21+00:00)
Title: fix MakeCreditDefaultSwap

Hi Pepe,

hope you are well. I tried to start working on the isda cds engine again. After two months doing other things it was more understanding the code we've produced so far, but at least I feel warm with it again now ...

Here is a small fix for the make cds already. It's not much, but a start I guess :-)

I hope next week I can compare the ql numbers to Murex, so that we finally find why we don't match the OpenGamma Paper.

Best regards
Peter