ISDA and Markit offer the CDS JPM CDS code here for open source download since about 2009.

James Zucker ported the code to an iPhone and recounted the tale in My First iPhone App. You can get the App from iTunes for free its called …iCDS from iJAZ Software.

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

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