A CDS (credit default swap) is a financial instrument that provides the ability to manage credit risk. The protection seller agrees to compensate the protection buyer when the specified legal entity suffers a default. The protection seller is paid a regular premium until the expiry of the CDS contract or until the defaults. As such, CDS can be viewed as a form of insurance against the default of a specific legal entity.
The Strata CDS instrument follows the ISDA standard.
CDS products are relatively standard, so the
CdsConvention is a good way to create one:
CdsTrade cdsTrade = CdsConventions.USD_STANDARD.toTrade( StandardId.of("OG-Entity", "RISKY_CORP"), // entity that might default TradeInfo.of(LocalDate.of(2017, 6, 23)), // trade date LocalDate.of(2017, 6, 21), // start date LocalDate.of(2019, 6, 12), // end date BuySell.BUY, // whether buying protection, or selling it 1_000_000, // notional 0.012); // fixed rate of 1.2%
strata-measure module provides high-level risk measures for CDS.
strata-pricer module provides lower-level pricing support for CDS: