CDS
Heidi Chen s.heidi.chen at gmail.com
David Kane dave.kane at gmail.com
Yang Lu yang.lu2014 at gmail.com
Kanishka Malik kanishkamalik at gmail.com
CDS Package
A Credit Default Swap (CDS) is a financial swap agreement between two counterparties in which the buyer pays a fixed periodic coupon to the seller in exchange for protection in the case of a credit event. The International Swaps and Derivatives Association (ISDA) has created a set of standard terms for CDS contracts, the so-called ''Standard Model.'' This allows market participants to calculate cash settlement from conventional spread quotations, convert between conventional spread and upfront payments, and build the yield curve of a CDS. The CDS package implements the Standard Model, allowing users to value credit default swaps and calculate various risk measures associated with these instruments.