The International Swaps and Derivatives Association, Inc. (ISDA) has published a press release stating that J.P. Morgan has transferred to ISDA its Credit Default Swap (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.
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