资源分类:Matlab 工具:MATLAB 7.4 (R2007a)



CDS pricer

This file has been updated as of 12 March. I believe it is now more accurate and more flexible, but it's still not the real thing. JPMorgan's source code has been made available at, I have not yet compared my implementation with theirs.


This program is still based on the paper by O'Kane and Turnbull (available at ). This routine prices a CDS, taking current market spreads to bootstrap survival probabilities, which imply a "risky present value". Contract details (initial spread, end date) then give the theoretical market price of the contract. The results are very similar to Bloomberg's CDSW page in simple tests.


The function requires the Financial Toolbox to manage dates, but if you are willing to sacrifice some accuracy this can easily be worked around.


Perhaps I should state that this is an analytical tool, and I am not responsible for any investment decisions made using it.

文件下载列表 (2.32KB)  


用户反馈   关于我们
Copyright (©) ZHIHUISHI.COM 2013 All Rights Reserved.