Fast calibration of CDS/bond measures
Registered by
Lakshmi Krishnamurthy
■Make the calibration of the bond/CDS calibration much more faster and robust.
■For bonds, the new calibration is applied for yield, Z Spread, and implied credit spread.
■For CDS, the new calibration is applied to flat spreads.
Blueprint information
- Status:
- Complete
- Approver:
- None
- Priority:
- High
- Drafter:
- None
- Direction:
- Approved
- Assignee:
- None
- Definition:
- Approved
- Series goal:
- Accepted for 2.1
- Implementation:
-
Implemented
- Milestone target:
-
2.1
- Started by
- Lakshmi Krishnamurthy
- Completed by
- Lakshmi Krishnamurthy
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