iCDS: CDS Pricer3.2.1 - App Store
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Publisher Description
iCDS is a free Credit Default Swap upfront fee calculator built on the official ISDA CDS Standard Model - the same pricing engine used across institutional fixed-income desks.
Enter a quoted spread, coupon, recovery, notional, and tenor. iCDS computes the SNAC (Standard North American CDS) upfront charge live as you change inputs, with the dirty upfront, accrued, par spread, and first-order risk metrics visible alongside.
WHAT'S INSIDE
. ISDA CDS Standard Model (v1.8.3) compiled directly into the app
. Seven SNAC maturities in one segmented row: 1Y / 2Y / 3Y / 4Y / 5Y / 7Y / 10Y
. DIRTY UPFRONT card - total cash to settle (upfront fee + accrued), with components shown alongside
. Default-risk-by-maturity chart - implied cumulative default probability at each tenor; tap a bar to price it
. First-order risk metrics on every trade - CS01, IR DV01, Rec01 (bump-and-reprice)
. Live overnight reference-rate curves from five central banks:
- USD SOFR (Federal Reserve Bank of New York)
- EUR €STR (European Central Bank)
- GBP SONIA (Bank of England)
- JPY TONA proxy (FRED / St. Louis Fed)
- AUD AONIA (Reserve Bank of Australia)
. Six regional contracts: NA, EM, EU, Asia, Japan, AUS
. Spread input via preset chips and a numeric keypad; cap raised to 10,000 bp for distressed credits
. ISDA RFR test-grid validation across all five currencies
. In-app Diagnostics tab - deterministic self-tests for the pricing engine, IMM helpers, regional holiday calendars, and live overnight-rate fetchers
WHO IT'S FOR
Quantitative finance students, fixed-income professionals, and developers exploring CDS pricing. Source is open under Apache 2.0.
NOT FOR
Booking, settlement, trading, or any decision with real money behind it. iCDS produces indicative pricing only - not financial, investment, or trading advice. Rates may be delayed; calculations use a flat overnight-rate discount curve, a standard simplification.
PRIVACY
No data collection. No tracking. No accounts. Reference rates are fetched live from public central-bank endpoints.
LICENSE
Source code: Apache 2.0. Pricing engine: ISDA CDS Standard Model Public License ((c) 2009 JPMorgan Chase Bank, N.A., developed with Markit). Not affiliated with, endorsed by, or sponsored by ISDA, Markit, JPMorgan Chase, or any rate provider.
Version History NEW
- Seven SNAC maturities in one segmented row: 1Y / 2Y / 3Y / 4Y / 5Y / 7Y / 10Y. Pick any tenor in one tap.
- Default-risk chart — cumulative default probability at each maturity; tap a bar to price that tenor.
- Risk metrics on every trade — CS01, IR DV01, Rec01 (bump-and-reprice).
- DIRTY UPFRONT card — total cash to settle (upfront + accrued), in trader vocabulary.
IMPROVED
- Updated SNAC conventions — EM moved to T+1 settlement; subordinated recoveries cut (EM 25→15%, Japan 35→15%); Japan
now offers a 500 bp coupon.
- Diagnostics tab — on-device self-tests for the pricing engine, IMM dates, regional holiday calendars, and live
overnight-rate fetchers. 3.2.1 May 18 • Updated for iOS 16 and current iPhone/iPad models
• Live overnight reference rates from five central banks (USD SOFR, EUR €STR, GBP SONIA, JPY TONA, AUD AONIA)
• Six regional contracts: NA, EM, EU, Asia, Japan, AUS
• Spread input via preset chips and numeric keypad; cap raised to 10,000 bp for distressed credits
• Rebuilt UI in SwiftUI — clearer layout and faster interaction
• New documentation site: jimzucker.github.io/iCDS 3.1.0 May 17 • Rebuilt UI in SwiftUI — clearer layout and faster interaction
• Updated for iOS 16 and current iPhone/iPad models
• Live overnight reference rates from five central banks (USD SOFR, EUR €STR, GBP SONIA, JPY TONA, AUD AONIA)
• Six regional contracts: NA, EM, EU, Asia, Japan, AUS
• Spread input via preset chips and numeric keypad; cap raised to 10,000 bp for distressed credits
• "Documentation & Source" button on the Info screen
• Apache 2.0 source license + full data-source attributions
• New documentation site: jimzucker.github.io/iCDS 3.01 May 5 * Addressed iOS 9 Compatibility
* Updated to Swift, new UX by Claude Code 3.0 Apr 25 We have added a button on the main screen that allows you to email the results of the calculation. 1.1 02/11/2010 1.0 02/04/2010
