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Industry Open-Sources Model For Infamous CDS

Posted by ScuttleMonkey on from the further-down-the-transparency-highway dept.

GlobalEcho writes "Credit default swaps (CDS) are infamous for bringing down AIG and requiring a bailout of hundreds of billions of dollars. Because the market for these was so murky, the US government has insisted that Wall Street create a clearinghouse for these contracts. In a fresh twist, part of the deal is that the models used to price CDS have been standardized, and that the pricing code was made open source, under a somewhat BSD-like license. The source code (originally written by JPMorgan) provides the basic pricing routines, plus an Excel interface. To my knowledge this is the first significant migration of an investment bank product platform from its usual super-secret proprietary home to the rest of the world."

9 of 161 comments (clear)

  1. Excel interface!?!? by fuzzyfuzzyfungus · · Score: 4, Funny

    I call upon my OSS brethren to join me in the working on the new fraudlib project and rebuild this package as a proper reusable library!

  2. Turns out BSD wasn't dying by Anonymous Coward · · Score: 5, Funny

    My 401k was.

    1. Re:Turns out BSD wasn't dying by stox · · Score: 2, Funny

      Heard on Wall Street:

      I lost half my money, but I still have my wife.

      --
      "To those who are overly cautious, everything is impossible. "
    2. Re:Turns out BSD wasn't dying by BarryJacobsen · · Score: 4, Funny

      Heard on Wall Street:

      I lost half my money, but I still have my wife.

      Scratch that...quarter of my money.

      --
      Track your TV Shows with your iPhone - FREE
  3. Pennies by A.+B3ttik · · Score: 2, Funny

    So if the Credit Transaction Software is Open Source... anyone can modify it, right?

    Let's change it. I've got this idea regarding fractions of a penny...

    1. Re:Pennies by Fastball · · Score: 2, Funny

      Yeah, but if caught you could end up going to federal POUND ME IN THE ASS prison...with Bernie Madoff as your bunk mate.

  4. Re:But... but... by anotherone · · Score: 2, Funny

    DONKEY.BAS was open source from the beginning.

    --
    Username taken, please choose another one.
  5. Re:I think I see the problem by Anonymous Coward · · Score: 2, Funny

    #include // This function converts a bad day to a good one (if it's in list).

    I believe I have found their list :

    std::string goodDayList = {"hookers", "cocaine", "bailout"};

  6. Re:government bailout != communism by Anonymous Coward · · Score: 3, Funny

    Under communism, man exploits man. Under capitalism it's the other way round.