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

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, 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.

Please be advised that the Administrator of the CDS Standard Model (IHS Markit now a part of S&P Global) has added the Juneteenth holiday to the ISDA CDS Standard Model. Further information can be found on the CDS Standard Model website:

ISDA Standard Model Settings for Fee Computations

RFR Test Grids

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