Credit Market Data Overview

The following curves can be built to support pricing for credit derivatives:

• CDS basis adjustment curve
• Default curve
• Prepayment curve
• Probability curve
• Recovery curve
• Risky curve
• Credit rating

 

 Ⓘ   [NOTE: Curves and surfaces can be updated in real-time using the Market Data Server]

See Market Data Server Documentation for information on configuring and running the market data server.