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Mar 2

CDS Standard Model

Posted by abiao at 17:45 | Code » Other | Comments(4) | Reads(15942)
JP. Morgan has release its CDS pricing and analysis model code!

The ISDA CDS Standard Model
The ISDA CDS Standard Model is a source code for CDS calculations and can be downloaded freely through this website. The source code is copyright of ISDA and available under an Open Source license.

As the CDS market evolves to trade single name contracts with a fixed coupon and upfront payment, it is critical for CDS investors to match the upfront payment amounts and to be able to translate upfront  quotations to spread quotations and vice versa in a standardized manner. Implementing the ISDA CDS Standard Model and using the agreed standard input parameters will allow CDS market participants to tie out calculations and thus improve consistency and reduce operational differences downstream.

Besides the code for CDS, a Yield Curve Specifications PDF file about how the yield curve is constructed and calculated is also available at the webpage, enjoy!


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