CDS Pricer

Parameters

Notional (USD)

Market Spread (bps) → implies hazard rate

Contractual Spread (bps) → fixed at inception

Recovery Rate (%)

Risk-Free Rate (%)

Maturity

Payment Frequency

Results

Fair Spread —

Premium Leg PV —

Protection Leg PV —

Upfront Payment —

CS01 ($ / bp) —

Jump-to-Default —

Hazard Rate —