Credit Default Swap Options
- Pricing a Single-Name CDS Option
This example shows how to price a single-name CDS option using
- Pricing a CDS Index Option
This example shows how to price CDS index options by using
cdsoptpricewith the forward spread adjustment.
- 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.