Arcfina has completed the integration of its analytics and risk engine with the ISDA CDS Standard Model, an open source project administered by S&P Global Market Intelligence. The model, published as a C library, has been compiled directly into the Arcfina engine and enables the functions available to be used within the Arcfina Analaytics Grid, including CDS present value and upfront charge calculations.

The ISDA CDS Standard Model which is published here, provides a wide range of industry-standard functions required for the valuation and trading of Credit Default Swaps (CDS). The integration supports valuations using both market spread and full CDS curves. The Risk-Free-Rates (RFR) curves required for the library have also been integrated from S&P Global Market Intelligence. Furthermore, Arcfina has supplemented the library with its own visualisation of the analytics providing its users with the transparancy required to understand the method behind the calculations.

Justin Sycamore, Founder and CEO at Arcfina said “This is an important step in advancing our support for Credit Default Swaps and their associated analytics and trading workflow requirements within Arcfina. The ISDA CDS Standard Model is the industry benchmark for valuing CDS contracts and determining up-front payments when trading and so I am very pleased to be annoucing the completion of this integration today.”