Cds indices option / CDX option

john00 · April 18th, 2014, 11:50 pm

Hi, Do you guys know if any code in C# (or other language) is available for pricing CDS indice option (or CDS at least)?I am currently looking at O'Kane books : Modelling Single-name and Multi-name Credit Derivatives.And I saw some implementation in Matlab (brand new version), but I am not sure on how well it fits the market. Any suggestion of papers or code to read are welcome. I am pretty new to credit world.

bearish · April 19th, 2014, 11:40 am

First, you should request that this post be moved to the Student forum, where more people are likely to find it. Second, the standard CDS model code can be downloaded from here: CDS Model. Index option models are not yet standardized, and I am not aware of any code floating around, but if you have access to Bloomberg (or know someone who does) you should be able to get your hands on a fairly detailed white paper describing their implementation. That may be as close to a "market practice" as you can get without access to dealer models.

john00 · April 20th, 2014, 3:39 am

OK, thank you. I will ask to move the post to Student forum. I took a look at the CDS model from ISDA. It is what I was looking for. I succeeded to match my benchmark for conversion of Upfront and Spread. Trying now to find how to extract the RPV01 from the code so it will help me to value CDX Option.