Class definition for the
is the name of the reference entity. Optional.
is the contract type, default SNAC
alphanumeric code assigned to the reference entity. Optional.
is when the trade is executed, denoted as T. Default is
CDS par spread in bps.
date of the CDS contract.
of contract in number of years - 5, 3
quoted in bps. It specifies the payment amount from
in decimal. Default is 0.4.
in which CDS is denominated.
is the dirty
upfront less the
is the accrued interest payment.
is the approximate the default probability at time t given the
is quoted in the currency amount. Since a standard contract is traded with fixed coupons, upfront payment is introduced to reconcile the difference in contract value due to the difference between the fixed coupon and the conventional par spread. There are two types of upfront, dirty and clean. Dirty upfront, a.k.a. Cash Settlement Amount, refers to the market value of a CDS contract. Clean upfront is dirty upfront less any accrued interest payment, and is also called the Principal.
measures the sensitivity of a CDS contract mark-to-market to a parallel shift in the term structure of the par spread.
is the change in value of a CDS contract for a 1 bp parallel
increase in the interest rate curve.
IRDV01 is, typically, a much
smaller dollar value than
spreadDV01 because moves in overall
interest rates have a much smaller effect on the value of a CDS contract
than does a move in the CDS spread itself.
is the dollar value change in market value if the recovery rate used in the CDS valuation were increased by 1%.
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