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How are index CDS constituents derived from CreditCurveId (in the absence of a BasketData node)?

Open bverhoeve1 opened this issue 1 year ago • 0 comments

Hello,

In the User Guide, section 8.2.51 (Index Credit Default Swap) the following is mentioned:

When BasketData is omitted, the index constituents are derived from the CreditCurveId element in the IndexCreditDefaultSwapData block

Can you please clarify how this derivation occurs, or point me to an example? I see IndexCreditDefaultSwapData appears in Example 40, but is always using BasketData node.

bverhoeve1 avatar May 15 '24 17:05 bverhoeve1