CDS Valuation Enhancement

Full featured financial fixed-income, credit, and bond analytics/risk

Brought to you by: lakshmi7977

Milestone: 1.3

Status: accepted

Owner: nobody

Labels: None

Updated: 2012-03-26

Created: 2012-03-26

Private: No

Enhance the CDS valuation for the following featurs:

Compute the full set of coupon and product "fair value" measures for the given CDS using the specified credit and discount curves
Optimize for calibration: Short-sircuit the full valuation path for calibration of the specific measures
Market measures: If these is market quote available forn the given CDS, compute the basis. After that, re-create the credit curve using the basis adjustment, and compute the set of "market" measures.