Welcome to BNCDS documentation

Please note that this documentation as well as the BNCDS system are still in beta testing stages. In addition, we are posting this top-level documentation as it is being written, so it is currently fragmentary but will continue to be updated frequently.

Your feedback is welcome at webs@bnikolic.co.uk.

Contents:

• Preamble
  • BN Algorithms Ltd
  • ISDA Standard Model
  • Terms of use of this documentation
• Introduction
  • About the BNCDS system
  • Intended target applications
  • Where and how can I get BNCDS?
  • Why is this documentation available publicly?
  • Is this the complete documentation for BNCDS?
• Defining interest rate curves
  • Building a curve from observed market price of instruments
  • The BNCDS::IRCurvePub class
  • Modifying the IR rate curve
  • Creating a Zero curve object
  • Notes
• Discounting future cashflows
• Defining the creditworthiness of reference names
  • The BNCDS::Spread class
• Calculating the present value of CDS contracts
  • The model
• Tutorial examples
  • Evaluation of a CDS with three different coupons
  • Present value of non-contingent cash-flows
  • Computing a credit-spread curve from a series of CDS contracts with par-prices
  • Computing par coupons given a credit spread curve