Documentation |
Determine price for credit default swap
[Price, AccPrem, PaymentDates, PaymentTimes,
PaymentCF]
= cdsprice(ZeroData, ProbData, Settle,
Maturity, ContractSpread)
[Price, AccPrem, PaymentDates, PaymentTimes,
PaymentCF]
= cdsprice(ZeroData, ProbData,
Settle, Maturity, ContractSpread,
Name,Value)
[Price, AccPrem, PaymentDates, PaymentTimes,
PaymentCF]
= cdsprice(ZeroData, ProbData, Settle,
Maturity, ContractSpread) computes
the price, or the mark-to-market value for CDS instruments.
[Price, AccPrem, PaymentDates, PaymentTimes,
PaymentCF]
= cdsprice(ZeroData, ProbData,
Settle, Maturity, ContractSpread,
Name,Value) computes the
price, or the mark-to-market value for CDS instruments with additional
options specified by one or more Name,Value pair
arguments.
Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside single quotes (' '). You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.
Note: Any optional input of size N-by-1 is also acceptable as an array of size 1-by-N, or as a single value applicable to all contracts. Single values are internally expanded to an array of size N-by-1. |
'Basis' |
N-by-1 vector of day-count basis of the CDS:
For more information, see basis. Default: 2 (actual/360) | |
'BusDayConvention' |
String or N-by-1 cell array of strings of business day conventions. Values are:
Default: actual | |
'Notional' |
N-by-1 vector of contract notional values. Use positive values for long positions and negative values for short positions. Default: 10MM | |
'PayAccruedPremium' |
N-by-1 vector of Boolean flags. True, if accrued premiums are paid upon default, False otherwise. Default: True | |
'Period' |
N-by-1 vector of number of premiums per year of the CDS. Allowed values are 1, 2, 3, 4, 6, and 12. Default: 4 | |
'RecoveryRate' |
N-by-1 vector of recovery rates, expressed as a decimal from 0 to 1. Default: 0.4 | |
'TimeStep' |
Positive integer indicating the number of days to take as time step for the numerical integration. Default: 10 (days) | |
'ZeroBasis' |
Basis of the zero curve, where the choices are identical to Basis. Default: 0 (actual/actual) | |
'ZeroCompounding' |
Compounding frequency of the zero curve. Allowed values are:
Default: 2 (Semiannual compounding) |
Beumee, J., D. Brigo, D. Schiemert, and G. Stoyle. "Charting a Course Through the CDS Big Bang," Fitch Solutions, Quantitative Research, Global Special Report. April 7, 2009.
Hull, J., and A. White, "Valuing Credit Default Swaps I: No Counterparty Default Risk," Journal of Derivatives 8, 29-40.
O'Kane, D. and S. Turnbull, "Valuation of Credit Default Swaps." Lehman Brothers, Fixed Income Quantitative Credit Research, April, 2003.