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 April 29, 2021)

The transition date for GBP-LIBOR to SONIA has been moved from 24 May 2021 to Monday 12 July 2021. GBP-LIBOR curves will be maintained in the model for the remainder of 2021.

CHF and AUD RFRs are now published and available for testing. The Test Grids for RFRs (USD, EUR, JPY, CHF and AUD) will be available the week of May 31st.

More News

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