Workspace /D3 CDS Pricer
D3

CDS Pricer

Price a single-name credit default swap on the ISDA standard model: the fair spread, the upfront on a standard coupon, both legs, risky duration, the mark-to-market after a spread move, and the basis to the issuer's bond.

Learning focus: a CDS is insurance on a bond, and why the CDS–bond basis is not zero.

Contract
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Credit
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Par spreads, illustrative for an investment-grade name. Each tenor is solved for its own hazard rate.

Discount curve
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Loading the Treasury curve…

Scenario and basis
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