Industry Open-Sources Model For Infamous CDS

Posted by ScuttleMonkey on Friday February 27, 2009 @08:23AM 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."

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Excel interface!?!? by fuzzyfuzzyfungus · 2009-02-27 08:29 · 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!
Turns out BSD wasn't dying by Anonymous Coward · 2009-02-27 08:35 · Score: 5, Funny

My 401k was.
1. Re:Turns out BSD wasn't dying by BarryJacobsen · 2009-02-27 09:45 · 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
Re:government bailout != communism by Anonymous Coward · 2009-02-27 13:55 · Score: 3, Funny

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