PRODUCT INFORMATIONThere are four applications in this section for valuation of credit derivatives. The descriptions in this section are brief. Click on the respective application link button to get to the application site, then click on the valuation procedure link for more details.
Credit-default-swap valuation. This application values a newly-issued or an existing credit-default-swap. It also includes a program for implying hazard rate from credit-default-swap spread.
Credit-default-swap index transactions. This application values a credit-default-swap based on index transactions.
Valuation of synthetic collateralised debt obligation. This application values a newly-issued or an existing synthetic collateralised debt obligation created from a credit index.
Valuation of k-th-to-default credit-default-swap. This application values a newly-issued or an existing basket credit-default-swap with a specific default payment trigger number.
