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 7, 2021)

A new version 1.8.3 of the ISDA CDS Standard Model supporting a full curve of swap rates with no deposits has been released. The change covers both the model code and the Excel add-in. This version supports both IBOR and RFR rates.

This version change does not impact IBOR calculations.

RFR documentation (as of March 13th) has been revised to clarify that there is no change to the interpolation method in the model as part of the IBOR to RFR transition.

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