Table of Contents

Enum IsdaCdsEngineNumericalFix

Namespace
NanoQL.PricingEngines
Assembly
NanoQL.dll

How the ISDA engine avoids a zero denominator f + h in its integrals: QuantLib's IsdaCdsEngine::NumericalFix, with its values.

public enum IsdaCdsEngineNumericalFix

Fields

None = 0

10-50 added to the denominators, as in the OpenGamma paper's footnote 26.

Taylor = 1

A Taylor expansion where f + h is below 10-4, as in Markit's proposed numerical fix.