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CDSCDS is a Tradable that represents a credit default swap, whereby a fixed amount is paid (received) in regular time intervals throughout the life of the swap in exchange for a single contingent payment.
The contingent payment is realized only if a predefined default event occurs before the swap's contractual maturity, in which case the swap is prematurely terminated.
The credit default swaps may exhibit the following attributes:
The pricing methodology is specified in Model[CDS]
The following functions are also available within CDS:
The following QuantLib issues have been identified: