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Calculating Price of a typical SingleName CDS

Required Calculation:	Calc Spread (using Dflt-Probability) Calc Dflt-Probability (using Spread)
CDS Maturity (num Years)	Years
CDS Par Value
Asset Recovery Rate (pct)	%
Interest Rate (pct)	%
Default Probability Pct	%
CDS Spread (bps p.a)
RESULTS:
Credit Spread (bps p.a)
Default Probability Pct
	<= Click here, after updating above fields.

Before we delve into the methodology of constructing a Gaussian Copula of Default probabilities using MonteCarlo simulation, it is important, to review the above basic calculations relating to credit-spreads of a single name CDS issuer. The simple scenario that I am depicting here is not a real-world situation, but a sample illustration to help your understanding. You can interactively explore the relationship between various parameters that go into CDS pricing methodology. Input the parameters of a typical CDS and click the "Calculate" button above.