Fast calibration of CDS/bond measures

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

Brought to you by: lakshmi7977

Milestone: 2.1

Status: accepted

Owner: nobody

Labels: None

Updated: 2013-03-12

Created: 2013-03-12

Private: No

Make the calibration of the bond/CDS calibration much more faster and robust.
For bonds, the new calibration is applied for yield, Z Spread, and implied credit spread.
For CDS, the new calibration is applied to flat spreads.