This project is read-only.

Par Equivalent CDS Spread (PECS) Calibration


  • Need to calculate the <<From>> and <<To>> counter-parts for the Par Equivalent CDS Spread (PECS) for bonds from a verierty of input bond measures, and a set of output measures.
  • Expose the PECS to full set of closing, live, and analytics external bond API - FI - and the corresponding samples.
  • Calculation these measures to the an arbitrary bond work-out date, as well as to the optimal exercise dates.
  • Introduce a set of bond measure calibration from these inputs.
  • Update the set of bond RV scenario measures matrix to include discount margin and yield spread.