[Trad4-users] Trad4: Porting the JP Morgan CDS implementation

[Steve <st...@to...>]

A port of the recently released JP Morgan CDS reference implementation 
to the trad4 architecture is underway.

It's called jpm_cds and the cvs tree is on-line here: 
http://trad4.cvs.sourceforge.net/viewvc/trad4/jpm_cds/. The original 
code is available here: http://www.cdsmodel.com/.

So far I've got the example in isda_cds_model_c_v1.7/examples/c/src 
running natively. This example just bootstraps an IR curve and discounts 
some up-front fees.

The next step is to return to the jpm model and get a similar example to 
price a hard-coded CDS working, then port this across to trad4. Should 
anyone have such a working example I'd be grateful to receive it as 
otherwise I risk getting the reference implementation wrong and 
propagating these errors to the trad4 implementation.

This is the first time I've ported an established application to the 
trad4 architecture, so this should prove a good litmus test for whether 
or not trad4 is going to fly.

While trad4's pedigree goes back about 15 years and it's remit is very 
wide, the actual implementation crystallised around the problem of 
modeling real-time credit risk.

Watch this space.

S.