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FINCAD offers the most transparent solutions in the industry, providing extensive documentation with every product. This is complemented by an extensive library of white papers, articles and case studies.

Credit Default Swap Options

Also known as a credit default swaption, it is an option on a credit default swap (CDS). A CDS option gives its holder the right, but not the obligation, to buy (call) or sell (put) protection on a specified reference entity for a specified future time period for a certain spread. The option is knocked out if the reference entity defaults during the life of the option. This knock-out feature marks the fundamental difference between a CDS option and a vanilla option. Most commonly traded CDS options are European style options.

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F3 Brochure

Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.