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Articles relating to Credit Default Swaps

Credit Default Swap (CDS) Pricing in Excel using QuantLib

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Free and open source QuantLib supports the precise valuation of Credit Default Swaps (CDS) in Excel. A CDS contract specifies N payment times T1, T2, …, TN at which, counterparty A (the Protection Seller) receives a pre-agreed fixed amount from counterparty B (the Protection Buyer) provided that a pre-defined credit event – such as the default of s...
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