CDSW

JimmyL · September 15th, 2010, 3:17 am

Has anyone been able to successfully replicate Bloomberg's CDSW function in an Excel/VBA environment?

mrowell · September 15th, 2010, 8:26 am

You know that CDSW uses the ISDA model (by default now) .. well you can get the C source from www.cdsmodel.com.. it has an Excel addin (XLL) so its trivial to use in Excel formulae directly or in VBA via Application.RunCheers- Mark