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
%
Credit
Par spreads, illustrative for an investment-grade name. Each tenor is solved for its own hazard rate.
Discount curve
bp
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Scenario and basis
bp
%
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