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Credit Default Swap Options

Price payer and receiver CDS options

Functions

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

Examples and How To

Pricing a Single-Name CDS Option
This example shows how to price a single-name CDS option usingcdsoptprice.
Pricing a CDS Index Option
This example shows how to price CDS index options by usingcdsoptpricewith the forward spread adjustment.

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.