.NET Interface for the ISDA Standard CDS Pricing model

We are pleased to announce immediate availability of a .NET interface to the ISDA Standard CDS Pricing model. This interface wraps all of the major functionality of the ISDA pricing library into an easy-to-use .NET assembly and ".dll", allowing convenient use of the library from any .NET language, including Visual Basic and C#.

For more information please visit the .NET ISDA interface web page or contact webs@bnikolic.co.uk.

Documentation for the CDS pricing model

You can view the documentation for, and based on, version 1.7 of the ISDA CDS Standard Model. It is generated in part automatically from the source code comments using the doxygen program. It is made available to the public by BN Algorithms Ltd in the hope that it will be useful, but neither BN Algorithms Ltd nor the original copyright holders provide any waranty of any sort with regard to its accuracy. It is entirely up to you to ensure that your usage of the CDS pricing library is correct.

• Go to the documentation

Download the ISDA CDS model

The ISDA CDS Standard Model software is available as open-source software. You can download it from this web site using the links below. The license applicable to the downloads in this section is the ISDA CDS standard model public license V1.0, which allows you to make changes and further distribute this code. Where the licensor is not taken to be the ISDA, it will be "BN Algorithms Ltd".

• Version 1.7

Advice on implementing and using the ISDA CDS model

We are happy to offer advice on how to use the ISDA CDS model and to resolve any issues you may find. Additionally, we can develop complete solutions based on the model for you. Please get in touch with us at webs@bnikolic.co.uk and let us know your requirements.

C++ interface to the ISDA CDS model

We are developing a C++ interface to the ISDA CDS model. The interface is:

• A layer on top of the original, completely unedited ISDA CDS code
• Hides much of the unnecessary complexity through proper use of C++
• Aims to preserve exact same sematics and pricing as the original

If you find after looking at the documentation and the code in the zip package above that you would prefer such an interface to ISDA CDS model, you can get more information at this page, or please get in touch with us. We are currently posting parts of the documentation of the C++ interface on-line, including annotated examples; you can find this documentation on these pages.