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Credit Default Swap Options

Price payer and receiver CDS options

Price payer and receiver credit default swap options.

Functions

cdsoptpricePrice payer and receiver credit default swap options
cdsrpv01 Compute risky present value of a basis point for credit default swap

Topics

  • Pricing a Single-Name CDS Option

    This example shows how to price a single-name CDS option using cdsoptprice.

  • Pricing a CDS Index Option

    This example shows how to price CDS index options by using cdsoptprice with 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.