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Credit Default Swap Options

Price payer and receiver CDS options

Functions

cdsoptpricePrice payer and receiver credit default swap options
cdsrpv01 Compute risky present value of a basis point for credit default swap

Examples and How To

Concepts

  • Credit Default Swap Option

    A credit default swap (CDS) option, or credit default swaption, is a contract that provides the holder with the right, but not the obligation, to enter into a credit default swap in the future.