Friday, January 30, 2009

J.P. Morgan’s CDS Analytical Engine Made Available as Open Source

From the ISDA press release:

The International Swaps and Derivatives Association, Inc. (ISDA) today announced that J.P. Morgan has transferred to ISDA its CDS Analytical Engine. The CDS analytical engine, originally developed by the Quantitative Research group at J.P. Morgan, is widely used in the industry to price CDS contracts. ISDA will make the analytical engine available as open source code, thereby increasing transparency around CDS pricing.

"J.P. Morgan has invested a lot of intellectual capital in this analytical engine. Its willingness to assign this to ISDA for us to make it available as open source to the entire industry demonstrates our collective commitment to the integrity of the CDS product," said Robert Pickel, Executive Director and Chief Executive Officer, ISDA. "ISDA and its members are vigilant to public concerns around transparency. This is yet another measure of increased standardization in CDS."

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