Credit @nalyst brings TechHackers' proven analytical expertise to the new world of credit derivatives.
 
Highlights:

Price default swaps:
  • Single and periodic premiums supported.
  • Compensate for counterparty exposure.
  • Two distinct pricing methodolgies.

Price options on default swaps:

  • Single and periodic premiums supported.
  • Two distinct pricing methodolgies.

Price basket default swaps:

  • Protection based on number of defaults.
  • Protection based on face value of defaults.

Price credit spread options.

List of Functions