Go to Deriscope's documentation start page


Pricing Method refers to List of available pricing methods.
Available Pricing Method types:
Integral Cds
Corresponds to the QuantLib IntegralCdsEngine.
Isda Cds
Corresponds to the QuantLib IsdaCdsEngine.
Allows the specification of:
Model[CDS]::Numerical Fix
Model[CDS]::Accrual Bias
Model[CDS]::Forwards In Coupon Period
[1] The Pricing and Risk Management of Credit Default Swaps, with a Focus on the ISDA Model, OpenGamma Quantitative Research, Version as of 15-Oct-2013
[2] ISDA CDS Standard Model Proposed Numerical Fix \ Thursday, November 15, 2012, Markit
[3] Markit Interest Rate Curve XML Specifications, Version 1.16, Tuesday, 15 October 2013
Mid Point Cds
Corresponds to the QuantLib MidPointCdsEngine.