Bond Fair Pricing, YTM, Risk and CDS Calculator
An easy-to-use tool to estimate a bond fair pricing, calculate its YTM or get a risk indicator (CDS estimate) for any issuer.
The application is structured into two parts.
The first part of the application calculates the "fair pricing" of a bond given a few basic inputs, like CDS value (issuer risk), coupon, coupon frequency and maturity value and date.
The "fair pricing" is a relatively complex calculation that combines the perceived risk of the issuer with the assumed (and updated) risk-free asset (AAA government bonds for European issuers or Treasury bonds for US Companies), and resulting in a price indication, that, however, does not take liquidity into consideration.
The second part of the application estimates the issuer's CDS value based on inputs like coupon, coupon frequency, issuer price, market price and maturity date and value.
Estimating the updated CDS for a specific issuer may be useful as it allows an immediate perception of its risk, comparison with other companies (both in the same sector or in different sectors), or even with sovereign issuers - whose CDS can also be estimated with this tool.
- Estimate a specific bond's fair pricing based on a few simple inputs.
- Estimate the up-to-date market default risk (CDS) associated with a bond issuer, based on simple inputs related to one (or more) of its bonds.
- Accurate YTM available in both calculations.
Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.