+

+calendar = TARGET()

+

+# set evaluation date

+todaysDate = Date(15,May,2007);

+todaysDate = calendar.adjust(todaysDate)

+Settings.instance().evaluationDate = todaysDate

+

+risk_free_rate = YieldTermStructureHandle(

+        FlatForward(todaysDate, 0.01, Actual365Fixed()))

+

+# CDS parameters

+recovery_rate = 0.5

+quoted_spreads = [ 0.0150, 0.0150, 0.0150, 0.0150 ]

+tenors = [ Period(3, Months), Period(6, Months),

+           Period(1, Years), Period(2, Years) ]

+maturities = [ calendar.adjust(todaysDate + x, Following) for x in tenors]

+

+instruments = [

+    SpreadCdsHelper(QuoteHandle(SimpleQuote(s)),

+                    tenor,

+                    0,

+                    calendar,

+                    Quarterly,

+                    Following,

+                    DateGeneration.TwentiethIMM,

+                    Actual365Fixed(),

+                    recovery_rate,

+                    risk_free_rate)

+    for s,tenor in zip(quoted_spreads, tenors) ]

+

+hazard_curve = PiecewiseFlatHazardRate(todaysDate, instruments,

+                                       Actual365Fixed())

+print "Calibrated hazard rate values: "

+for x in hazard_curve.nodes():

+    print "hazard rate on %s is %.7f" % x

+

+print "Some survival probability values: "

+print "1Y survival probability: %.4g, \n\t\texpected %.4g" % (

+    hazard_curve.survivalProbability(todaysDate + Period("1Y")),

+    0.9704)

+print "2Y survival probability: %.4g, \n\t\texpected %.4g" % (

+    hazard_curve.survivalProbability(todaysDate + Period("2Y")),

+    0.9418)

+

+# reprice instruments

+nominal = 1000000.0

+probability = DefaultProbabilityTermStructureHandle(hazard_curve)

+

+# create a cds for every maturity

+all_cds = []

+for maturity, s in zip(maturities, quoted_spreads):

+    schedule = Schedule(todaysDate, maturity, Period(Quarterly),

+                        calendar, Following, Unadjusted,

+                        DateGeneration.TwentiethIMM, False)

+    cds = CreditDefaultSwap(Protection.Seller, nominal, s,

+                            schedule, Following, Actual365Fixed())

+    engine = MidPointCdsEngine(probability, recovery_rate, risk_free_rate)

+    cds.setPricingEngine(engine)

+    all_cds.append(cds)

+

+print "Repricing of quoted CDSs employed for calibration: "

+for i in range(len(tenors)):

+    print "%s fair spread: %.7g" % (tenors[i], all_cds[i].fairSpread())

+    print "   NPV: %g" % all_cds[i].NPV()

+    print "   default leg: %.7g" % all_cds[i].defaultLegNPV()

+    print "   coupon leg: %.7g" % all_cds[i].couponLegNPV()