Dominic O’Kane has/had his own web based calculator based on his 2008 book Modeling Single-name and Multi-name Credit Derivatives which is in turn based on a very good Lehman research report O’Kane published with Stuart Turnbull in 2003, Valuation of Credit Default Swaps.
Hull and White 2003 on Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation. If there is a broker dealer running a PDE solver on their Credit Derivative inventory for daily P&L, find out who the head of quantitative research is there and bow before that guy because he has achieved Steve Jobs-level marketing skills.
Matlab CDS pricer, here.
BionicTurtle has a YouTube video of how to run a CDS valuation on a spreadsheet, here. Appears to be the tip of iceberg of You Tube videos explaining Credit Derivatives