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CDS example: price an off-par CDS in the AAD section - #34

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auto-differentiation-dev merged 1 commit into
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samples/cds-off-par
Nov 13, 2026
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auto-differentiation-dev merged 1 commit into
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samples/cds-off-par

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The CDS in the CDS example's AAD section now pays a 1% running coupon against the 1.5% quoted spread, so it is off par and every sensitivity in its table is non-zero. At par, most of them came out as zero, which showed little about the risk.

Changes

  • Python/examples/cds.py: the AAD section's CDS has a 1% coupon, with a sentence explaining why

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auto-differentiation-dev merged commit 02c7779 into main Nov 13, 2026
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auto-differentiation-dev deleted the samples/cds-off-par branch November 13, 2026 17:52
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