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Credit Default Swaps

Bootstrap CDS probability curve, price, and determine CDS price and spread

Additional tools for working with credit default swaps and are available in Financial Instruments Toolbox™. For more information, see Price Credit Derivative Instruments (Financial Instruments Toolbox).

Functions

cdsbootstrapBootstrap default probability curve from credit default swap market quotes
cdspriceDetermine price for credit default swap
cdsspreadDetermine spread of credit default swap
cdsrpv01 Compute risky present value of a basis point for credit default swap

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