Price Credit Derivative Instruments

Create credit derivative instrument object, associate the object with a model, and specify pricing method

Create a credit derivative object using fininstrument, associate the object with a model using finmodel, and then specify a pricing method using finpricer.

Functions

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Create Instrument, Model, and Pricer

`fininstrument`	Create specified instrument object type
`finmodel`	Create specified model object type
`finpricer`	Create pricing method
`price`	Compute price for credit derivative instrument with `Credit` pricer
`price`	Compute price for interest-rate, equity, or credit derivative instrument with `Analytic` pricer

Analyze Default Probability Curves

`defprobcurve`	Create `defprobcurve` object for credit instrument
`survprobs`	Compute survival probability based on default probability curve
`hazardrates`	Compute hazard rates based on default probability curve
`defprobstrip`	Bootstrap `defprobcurve` object from market CDS instruments

Objects

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Credit Derivative Instruments

`CDS`	`CDS` instrument object
`CDSOption`	`CDSOption` instrument object

Models for Credit Derivative Instruments

`CDSBlack`	Create `CDSBlack` model object for `CDSOption` instrument
`defprobcurve`	Create `defprobcurve` object for credit instrument

Pricers for Credit Derivative Instruments

`Credit`	Create `Credit` pricer object for `CDS` instrument using `defprobcurve`
`CDSBlack`	Create `CDSBlack` pricer object for `CDSOption` instrument using `CDSBlack` model

Examples and How To

Bootstrapping a Default Probability Curve from Credit Default Swaps

This example shows how to bootstrap a default probability curve for CDS instruments.

Mapping Financial Instruments Toolbox Functions for Credit Derivative Instruments

The following table lists the Financial Instruments Toolbox™ functions for credit derivative instruments mapped to the associated workflow using the object-based framework for instruments, models, and pricers.

Concepts

Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments

Use objects to model and price financial instruments.

Choose Instruments, Models, and Pricers

Select instruments, associated models, and associated pricers.

Related Information

Object-Based Framework for Pricing Financial Instruments (2 min 42 sec)

Documentation