Credit Default Swaps
Additional tools for working with credit default swaps and are available in Financial Instruments Toolbox™. For more information, see Price Credit Derivative Instruments (Financial Instruments Toolbox).
Functions
cdsbootstrap | Bootstrap default probability curve from credit default swap market quotes |
cdsprice | Determine price for credit default swap |
cdsspread | Determine spread of credit default swap |
cdsrpv01 | Compute risky present value of a basis point for credit default swap |
Topics
- Bootstrapping a Default Probability Curve
This example shows how to price a new CDS contract by first estimating a default probability term structure using
cdsbootstrap. - Finding Breakeven Spread for New CDS Contract
This example shows how to compute the breakeven, or running, spread.
- Valuing an Existing CDS Contract
This example shows how to compute the current value, or mark-to-market, of an existing CDS contract.
- Converting from Running to Upfront
This example shows how to convert the market quotes to upfront quotes.
- Bootstrapping from Inverted Market Curves
These examples show bootstrapping with inverted CDS market curves, that is, market quotes with higher spreads for short-term CDS contracts.
- First-to-Default Swaps (Financial Instruments Toolbox)
This example shows how to price first-to-default (FTD) swaps under the homogeneous loss assumption.
- Credit Default Swap (CDS)
A credit default swap (CDS) is a contract that protects against losses resulting from credit defaults.
