B. Nikolic: Pricing & Risk-Management of Credit-Default Swaps (CDS)

.NET Interface for the ISDA Standard CDS Pricing model

We are pleased to announce immediate availability of a .NET interface to the ISDA Standard CDS Pricing model. This interface wraps all of the major functionality of the ISDA pricing library into an easy-to-use .NET assembly and ".dll", allowing convenient use of the library from any .NET language, including Visual Basic and C#.

For more information please visit the .NET ISDA interface web page or contact webs@bnikolic.co.uk.

Evaluation versions available -- please contact us at webs@bnikolic.co.uk .

Java Interface for the ISDA Standard CDS Pricing model

We are announcing immediate availability of a Java interface to the ISDA Standard CDS pricing model. Making use of experience gained developing our successful .NET interface to the ISDA library, this interface allows convenient, fast, and reliable development of applications against the ISDA model.

For more information please visit the Java ISDA interface web page or contact webs@bnikolic.co.uk.

Services related to CDS pricing and risk-management

We offer consulting services and custom-made software for pricing and risk-management of CDS contracts. We are a completely independent company and can offer platform and dealer neutral advice and solutions. The long-term sustainability of most of our software solutions is guaranteed by delivering to you the full source code.

Some of the areas we are active in are:

Pricing and risk for single-name CDS contracts
Pricing of CDS Index contracts based on constituent names
Risk management and value at risk computations

We also offer advice on technical implementation of the ISDA CDS model within your organisation.

Documentation for the CDS pricing model

You can view the documentation for, and based on, version 1.7 of the ISDA CDS Standard Model. It is generated in part automatically from the source code comments using the doxygen program. It is made available to the public by BN Algorithms Ltd in the hope that it will be useful, but neither BN Algorithms Ltd nor the original copyright holders provide any waranty of any sort with regard to its accuracy. It is entirely up to you to ensure that your usage of the CDS pricing library is correct.

Go to the documentation

Download the ISDA CDS model

The ISDA CDS Standard Model software is available as open-source software. You can download it from this web site using the links below. The license applicable to the downloads in this section is the ISDA CDS standard model public license V1.0, which allows you to make changes and further distribute this code. Where the licensor is not taken to be the ISDA, it will be "BN Algorithms Ltd".