# cdsrpv01

Compute risky present value of a basis point for credit default swap

## Syntax

## Description

adds optional name-value arguments.`RPV01`

= cdsrpv01(___,`Name,Value`

)

`[`

computes the risky present value of a basis point (RPV01),
`RPV01`

,`PaymentDates`

,`PaymentTimes`

]
= cdsrpv01(`ZeroData`

,`ProbData`

,`Settle`

,`Maturity`

)`PaymentDates`

, and `PaymentTimes`

for a
credit default swap (CDS).

`[`

computes the risky present value of a basis point (RPV01),
`RPV01`

,`PaymentDates`

,`PaymentTimes`

]
= cdsrpv01(___,`Name,Value`

)`PaymentDates`

, and `PaymentTimes`

for a
credit default swap (CDS) using optional name-value pair arguments.

## Examples

## Input Arguments

## Output Arguments

## More About

## References

[1] Beumee, J., D. Brigo, D. Schiemert, and G. Stoyle. “Charting a Course
Through the CDS Big Bang.” *Fitch Solutions, Quantitative
Research.* Global Special Report. April 7, 2009.

[2] Hull, J., and A. White. “Valuing Credit Default Swaps I: No Counterparty
Default Risk.” *Journal of Derivatives.* Vol. 8, pp.
29–40.

[3] O'Kane, D. and S. Turnbull. “Valuation of Credit Default Swaps.”
*Lehman Brothers, Fixed Income Quantitative Credit Research.*
April, 2003.

[4] O'Kane, D. *Modelling Single-name and Multi-name Credit
Derivatives.* Wiley Finance, 2008.

## Version History

**Introduced in R2013b**

## See Also

`cdsbootstrap`

| `cdsspread`

| `cdsprice`

| `cdsoptprice`

(Financial Instruments Toolbox) | `IRDataCurve`

(Financial Instruments Toolbox)

### Topics

- Pricing a CDS Index Option (Financial Instruments Toolbox)
- Credit Default Swap Option (Financial Instruments Toolbox)