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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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fininstrumentCreate specified instrument object type
finmodelCreate specified model object type
finpricerCreate pricing method
priceCompute price for credit derivative instrument with Credit pricer
priceCompute price for interest-rate, equity, or credit derivative instrument with Analytic pricer
defprobcurveCreate defprobcurve object for credit instrument
survprobsCompute survival probability based on default probability curve
hazardratesCompute hazard rates based on default probability curve
defprobstripBootstrap defprobcurve object from market CDS instruments

Objects

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CDSCDS instrument object
CDSOptionCDSOption instrument object
CDSBlackCreate CDSBlack model object for CDSOption instrument
defprobcurveCreate defprobcurve object for credit instrument
CreditCreate Credit pricer object for CDS instrument using defprobcurve
CDSBlackCreate 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.