Price a single-name CDS using a discount curve for present value plus a credit curve for the default
(hazard-rate) assumptions. Shared concepts are on the Pricing overview.
The New CDS form.
Pricing Context
Field
Control
Default
What it does
As Of Date
Date
2025-01-15
Valuation date.
Discount Curve
Two dropdowns
Standalone → none
First picks the source (— Standalone curves — or a curve set); second picks the curve used to present-value the CDS legs.
Attach quote book snapshot for curve quote_ids
Checkbox
on
Bundle quote-book values so curves referencing quote IDs resolve server-side.
CDS Terms
Field
Options
Default
What it does
Protection Side
Buyer, Seller
Buyer
Whether you buy or sell protection. Buyer pays the premium and is compensated on default.
Notional
Number
10,000,000
Protected notional amount.
Running Spread (bps)
Number
100
The contractual coupon (premium) paid on the premium leg, in basis points.
Upfront
Number
0
Upfront payment exchanged at inception.
Day Counter
Day-counter list
Actual360
Accrual basis for the premium leg.
Business Day Convention
Business-day-convention list
Following
Business-day rule for premium payment dates.
Schedule
Field
Options
Default
What it does
Effective Date
Date
spot
Protection start date.
Termination Date
Date
+5y
Protection end / maturity date.
Calendar
Calendar list
TARGET
Holiday calendar for business-day adjustment.
Frequency
Annual, Semiannual, Quarterly, Monthly
Quarterly
Premium payment frequency.
Convention
Business-day-convention list
Following
Business-day rule for intermediate dates.
Termination Convention
Business-day-convention list
Unadjusted
Business-day rule for the maturity date.
Date Generation Rule
Forward, Backward, CDS, OldCDS, ThirdWednesday, Twentieth, TwentiethIMM, Zero
TwentiethIMM
Schedule-date generation rule; CDS conventionally rolls to IMM dates.
End of month
Checkbox
off
Apply the end-of-month schedule rule.
Credit Curve
The default assumptions. You can point at a saved credit curve or define one inline.
Field
Options
Default
What it does
Curve Source
Use saved credit curve, Inline override in this trade
Use saved credit curve
Whether to reference a saved credit curve or define the hazard-rate assumptions inline.
Saved Credit Curve
Dropdown of saved credit curves
—
The saved credit curve to price against. Manage opens the credit-curve editor. A summary box shows its source, recovery rate, and point count. Saved
Recovery Rate
Number (0–1)
0.4
Assumed recovery on default. Inline
Curve Mode
Bootstrapped from spread quotes, Flat hazard rate
Bootstrapped from spread quotes
Build the survival curve from CDS spread quotes, or use a single flat hazard rate. Inline
Flat Hazard Rate
Number
0.02
The constant hazard rate. Inline · flat
Spread points
Rows of Tenor # + Unit + Spread (bps)
4 default points
The term structure of CDS spreads the curve is bootstrapped from. Add/remove rows. Inline · quotes
Reading the results
The results panel reports:
NPV — the present value of the CDS to the protection side chosen.
Fair Spread — the par running spread (in bps) that zeroes the swap.
Fair Upfront — the par upfront given the running spread.
Default Leg NPV and Premium Leg NPV — the present values of the protection and premium legs.
