The JP Morgan CDSW methodology was discussed on here a while agohttp://www.wilmottmagazine.com/messageview.cfm ... JPM1.zipIf someone can work out how they get the discount factor from the yield in the attachment , I will have it working in Excel pretty soon. It wouldn't take too long to code it into something like C#/SQL.

Hi Noel,1. You're right. Changing the interest rates will affect the surv probs as I noted in my original post. Bloomberg use the BGN interest curve in their CDSW pricer, but don't publish the model itself. However, the bulk of the risk in the a single-name CDS is credit risk, with only a residual amount of interest rate risk. As you can see from the attached screenshots, for the first CDS, the ratio of IR01 to Spread01 is 0.0148%, which means that the difference in the ultimate survival probabilities will be very small.2. I believe that the probabilities will be bootstrapped. The model I was working on was just a quick and dirty approximation. I needed a quick method to generate probabilities for a multi-factor model that I am working on.Schiz

Sgaragnaus,Thanks for the suggestion. Unfortunately, my current needs require a quick and easy analytical solution, so I am willing to sacrifice accruacy for speed. Ideally, if you have an accurate single-name CDS model set up, you should be able to derive the probabilities from that, because each credit spread would solve the equivalent maturity CDS back to an NPV of zero. You would use the "solved" survival probabilities at the par points - 6M, 1Y, 2Y, etc - to bootstrap right across the term structure.Then again, I need something that is closed-form.Thanks,Schiz

Hi HPBarone, I can compute the default probabilities very fast,since they are just implied by the quoted CDS spread.I have not finished my thesis yet. I'll be very willing to share you once I finish it.

What is the market practice to evaluate CDS now-a_days?

Dear Allen,I m a second year business management student @ XLRI, jamshedpur. I m doin a dissert and want to know how u calculated the default probs...in the spreadshit the formula is not thr...cud u plz tell wot formula ur model uses..if u thnk this is smthng imp to ur thesis and wanna mail personally... plz mail me at b05048@astra.xlri.ac.in...wud be a gr88 help...Rgds..Satya