ISDA CDS Standard Model
The ISDA CDS Standard Model is a source code for CDS calculations and can be downloaded freely through this website.

The source code is copyright of ISDA and available under an Open Source license.

 
Background

As the CDS market evolves to trade single name contracts with a fixed coupon and upfront payment, it is critical for CDS investors to match the upfront payment amounts and to be able to translate upfront quotations to spread quotations and vice versa in a standardized manner.

One of the primary goals in making the code available is to enhance transparency and to optimize use of standard technology for CDS pricing. Implementing the ISDA CDS Standard Model and using the agreed standard input parameters will allow CDS market participants to tie out calculations and thus improve consistency and reduce operational differences downstream.

 
Markit's role

Markit, in its role as administrator for this open source project, provides support for the maintenance of the code and moderates the forum on this open source website. In addition, Markit develops and maintains the documentation provided with the code and will provide support to future ISDA working groups around the open source code.

 
News (last updated November 8, 2014)

ICE Benchmark Administration (IBA) was named the administrator of the London Interbank Offered Rate (LIBOR) in February 2014, and introduced a new licensing arrangement that any distribution of LIBOR rates within four hours of initial publication (11:45am London time) is liable for per user fees. As LIBOR rates are a component of the model for the following currencies: USD, GBP, JPY, CHF, and in order that no per user fees apply to users of the model, the publication times for JPY and CHF will be delayed as follows:

JPY publication time has moved from 16:00 Tokyo local time to 15:45 London local time (23:45 / 00:45 Tokyo local time), SLA 17:15 London local time.

CHF publication time has moved from 16:00 Zurich local time to 16:45 Zurich local time, SLA 18:15 Zurich local time.

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