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Matching CDS ISDA Model Prices to Bloomberg

Article Quant Q&A · Author: dsugasa
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Summary

The discussion addresses how to reproduce credit default swap valuations from Bloomberg using QuantLib or the ISDA Standard CDS model. It points to a QuantLib example that reportedly reproduces Markit prices closely and to the ISDA model source code as a way to align calculations with Bloomberg.

The key practical requirement is consistent inputs: market data, including interest rates, dates, and other trade assumptions must match. The exchange offers pointers rather than a full pricing tutorial, and it does not specify a complete set of conventions or demonstrate a Bloomberg comparison. The reported close match refers to Markit prices, so it should not be read as a guarantee of identical outputs under different data or conventions.

Key ideas

  • A QuantLib example is cited for reproducing Markit CDS prices closely.
  • The ISDA Standard CDS model is another reference for CDS valuation.
  • Bloomberg comparisons require matching market data, dates, and other inputs.
  • The discussion gives implementation leads rather than a complete calibration guide.

Tags

Fixed incomeDerivatives pricing
Full text
# CDS ISDA model/Bloomberg


# CDS ISDA model/Bloomberg












I am becoming more acquainted with QuantLib as a platform. I've been using both the python implementation and QuantLib XL. As I have started to look at CDS, I would like to know if there is a definitive guide to pricing CDS to match the outputs from Bloomberg? I have come across several old threads, but I can't seem to find a definitive successful example. If anyone can point me in the right direction, ideally in Python it would be appreciated.

Thanks

## Answer by Luigi Ballabio (score 4, accepted)

https://quant.stackexchange.com/a/44780

The isda-engine.py example in the QuantLib-SWIG distribution reproduces Markit prices within fractions of cents.

## Answer by Dimitri Vulis (score 1)

https://quant.stackexchange.com/a/44717

You can download the C++ source code to the ISDA Standard CDS model (which JPM contributed) http://www.cdsmodel.com/cdsmodel/cds-disclaimer.html here. Its output will match Bloomberg if you use the same market data (including interest rates), dates, and other inputs.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.