Credit Derivatives
CDS Pricer
Credit Default Swap Valuation & Upfront Pricing
Value single-name Credit Default Swaps using a transparent hazard-rate framework. Analyse premium and protection legs, estimate implied default probabilities, calculate RPV01, CDS duration and upfront payments, and gain a deeper understanding of credit derivative pricing.
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CDS Valuation
Price Credit Default Swaps from either the protection buyer's or seller's perspective using market spreads.
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Hazard Rate
Derive implied hazard rates, default probabilities and risky annuities from observed CDS spreads.
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Upfront Pricing
Compute premium leg, protection leg, RPV01, duration and upfront payments for comprehensive CDS analysis.