CDSPricing (BN Algorithms Ltd) Documentation



This documentation is 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.

To read about the top-level functions for CDS pricing, look at the documentation of cds.h

Copyright statements

This application is based on the ISDA CDS Standard Model (version 1.7), developed and supported in collaboration with Markit Group Ltd.

Copyright (C) 2009 International Swaps and Derivatives Association, Inc.

Copyright (C) 2009 Bojan Nikolic

The licensor of this documentation is BN Algorithms Ltd

Distributed by BN Algorithms Ltd -- consulting in quantitative finance, mathematical algorithms and software implementations. CDS Home Page. For enquires contact
This documentation is derived from ISDA CDS Standard Model version 1.7. You can get a copy of the original ISDA code at This is a derivative work under the terms of the ISDA CDS Standard Model Public License. BN Algorithms Ltd licenses this work to you solely for on-screen viewing on your own computer. Making copies and further distribution of this work is prohibited.
This documentation is provided "as-is", without warranty of any kind, either expressed or implied, including, without limitation, warranties that the documentation is free of defects, merchantable, fit for a particular purpose or non-infringing. the entire risk as to the quality of the documentation is with you. Should this documentation prove defective in any respect, you (not the licensor) assume the cost of any necessary correction. This disclaimer of warranty constitutes an essential part of this license.