cdstools 0.0.2

Tools designed for use with CDS data

This package offers users simple tools designed for Credit Default Swap (CDS) data. Included in this package is a hazard rate bootstrapping function which implements the JP Morgan model for determining hazard rate curves. To be Included in future releases will be a pricing function that detemines a CDS’s spread based on the yield curve and default probabilities, and a function that prices Credit Default Swaptions (options on CDSs).

Bootstrapping Function: This function implements the so-called JP Morgan model. This model makes the assumptions that the interest rate process is independent of the default process and that default leg pays at the end of each accrual period. Typically, regular fee payments occur at the end of each period. To that end, this model assumes that defaults occur midway buring each payment period. And finally, this model assumes that the hazard rate is piecewise constant on the intervals that correspond to the maturities of the CDS contracts.

Change Log

0.0.1 (10/08/2020)

• First Release

0.0.2 (10/10/2020)

• CDS spread calculator added. Some typos corrected.