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  • ForwardCDS,Indicesand Options This paper is a followup to The Pricing and Risk Management of Credit Default Swaps, with a Focus on the ISDA Model [Whi13]. Here we show how to price indices (portfolios of CDSs) from the calibrated credit curves of the constituent names, and how to adjust those curves to match the market price of a index (basis adjustment). We then show how to price forward starting single-name CDSs and indices, since these are the underlying instruments for options on single-name CDSs and indices. The pricing of these options is the main focus of this paper. The model we implement for index options was first described by Pedersen [Ped03], and we give full implementation details and examples. We discuss the common risk factors (the Greeks) that are calculated for these options, given various ways that they may be calculated and show results for some example options. Finally we show some comparisons between our numbers and those displayed on Bloomberg’s CDSO screens. All the code used to generate the results in this paper is available as part of the open source release of the OpenGamma Platform. , RichardWhite (2014)  
  • Interest Rate Models Thesis , Damir Filipovic (2007)  
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