Credit Default Swap Options

Price payer and receiver CDS options

Functions

cdsoptpricePrice payer and receiver credit default swap options
cdsrpv01 Compute risky present value of a basis point for credit default swap

Examples and How To

Pricing a Single-Name CDS Option

This example shows how to price a single-name CDS option using cdsoptprice.

Pricing a CDS Index Option

This example shows how to price CDS index options by using cdsoptprice with the forward spread adjustment.

Concepts

Credit Default Swap Option

A credit default swap (CDS) option, or credit default swaption, is a contract that provides the holder with the right, but not the obligation, to enter into a credit default swap in the future.