CDS and CDS Index
A Credit Default Swap (CDS) 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.
A CDS Index is a standardized financial derivative that contains a basket single name CDS.
A CDS is represented in Strata using the
Cds class stores details of the product that was agreed.
The trade details are stored in
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%
A CDS Index is represented in Strata using the
Most of the details are the same as a CDS.
TIP: The strata-loader project provides the ability to load a CDS from FpML and CSV (CDS and CDS Index).
strata-measure module provides high-level risk measures for CDS.
strata-pricer module provides lower-level pricing support for CDS:
For CDS Index, see: