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john00
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Joined: January 7th, 2009, 6:28 pm

CDS ISDA RPV01

April 22nd, 2014, 3:58 pm

Hi,I am looking at the ISDA C codeCDS_Model_CodeIs anyone familiar with this code? It seems to be use by a lot of broker as standard. I would like to find the RPV01 which is by definition:Fixed leg=Fee Leg= RPV01*CouponSo looking at the code, I used JpmcdsCdsFeeLegPV function with coupon =1.What do you think? Is this correct?To check that is it is correct, I look at [$]RPV01 = \frac{Upfront}{Spread -Coupon}[$] with a credit spread curve flat. Though I have a error at [$]10^{-1}[$] which is too big.Is JpmcdsCdsFeeLegPV is the good function to use for RPV01? Did I miss something?
 
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john00
Topic Author
Posts: 1
Joined: January 7th, 2009, 6:28 pm

CDS ISDA RPV01

April 29th, 2014, 12:11 pm

Just for info, I found the solution. JpmcdsCdsFeeLegPV is indeed the RPV01.