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.

Financial Instruments Toolbox FunctionObject-Based Workflow
cdspriceCreate the following objects:

  1. CDS instrument

  2. defprobcurve

  3. ratecurve

  4. Credit pricer

Compute the price of the CDS instrument using price.
cdsoptpriceCreate the following objects:

  1. CDSOption instrument

  2. CDSBlack model

  3. ratecurve

  4. CDSBlack pricer

Compute the price of the CDSOption instrument using price.

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