CDS Valuation Enhancement
Registered by
Lakshmi Krishnamurthy
Enhance the CDS valuation for the following featurs:
- Compute the full set of coupon and product "fair value" measures for the given CDS using the specified credit and discount curves
- Optimize for calibration: Short-sircuit the full valuation path for calibration of the specific measures
- Market measures: If these is market quote available forn the given CDS, compute the basis. After that, re-create the credit curve using the basis adjustment, and compute the set of "market" measures.
Blueprint information
- Status:
- Started
- Approver:
- None
- Priority:
- High
- Drafter:
- None
- Direction:
- Needs approval
- Assignee:
- None
- Definition:
- Approved
- Series goal:
- Accepted for creditanalytics1.3
- Implementation:
-
Deployment
- Milestone target:
-
creditanalytics1.3
- Started by
- Lakshmi Krishnamurthy
- Completed by
Whiteboard
(?)
