Commentary [FONT=Times New Roman,Times New Roman]ISDA is in the process of making this code available as open source. This will happen in the very near future. Once the information is available, ISDA will provide further information through a broad announcement. [/FONT]
JP Morgan open source Credit default Swap pricing source code
"Credit default swaps (CDS) are infamous for bringing down AIG and requiring a bailout of hundreds of billions of dollars. Because the market for these was so murky, the US government has insisted that Wall Street create a clearinghouse for these contracts. In a fresh twist, part of the deal is that the models used to price CDS have been standardized, and that the pricing code was made open source, under a somewhat BSD-like license. The source code (originally written by JPMorgan) provides the basic pricing routines, plus an Excel interface. To my knowledge this is the first significant migration of an investment bank product platform from its usual super-secret proprietary home to the rest of the world."
"The code is available through an open source license at www.cdsmodel.com. Along with the code, standard inputs to the model, such as recovery value and yield curve, will be described and made available in due course, together with an online discussion forum, which will allow for community input."
I also tried to play with some of the function.
One thing i am not sure is that they released a new document: "Standard CDS Example" at www.cdsmodel.com.
In that doc they mentioned the Converter Assumptions is assuming a single flat hazard rate...
Is there anyway that i can see how they actually implememt the "CDS_CleanSpreadCurveBuild" function?
Although the initiative of this open source is aimming to have a transparent CDS pricing, i was thinking to take the survival probabilities from here and use the survival probs. at some other applications.