CDS Calculator Excel Template
CDS Calculator Excel Template
Interactive Excel Financial Model
Download, customize, and integrate into your own analysis
What's Included
- Interactive financial model with live Excel formulas
- All formulas visible and fully editable
- Professional formatting with color-coded inputs & outputs
- Formula reference sheet with variable definitions
- Step-by-step instructions sheet
- Compatible with Microsoft Excel 2016 and later
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Price range: $0.00 through $20.00
Download the CDS Calculator for Microsoft Excel. Interactive financial model with live formulas, fully editable. Free or pay-what-you-want.
Online Calculator vs Excel Template
| Feature | Online | Excel |
|---|---|---|
| Instant use โ no download | ✓ | โ |
| Works offline | โ | ✓ |
| Customize formulas & layout | โ | ✓ |
| Save & share with colleagues | โ | ✓ |
| Integrate into your own models | โ | ✓ |
| Print-ready formatting | โ | ✓ |
About This Template
Model credit default swap pricing with this professional CDS Calculator Excel Template. Built on the constant hazard rate framework from Hull's derivatives textbook (Ch. 25), this template calculates implied default probabilities, present values of both premium and protection legs, and breakeven spreads using closed-form continuous-time formulas.
What You Can Calculate
- Implied Hazard Rate โ Risk-neutral default intensity derived from spread and recovery rate
- Survival & Default Probabilities โ Cumulative probabilities over the contract tenor
- PV of Premium Leg โ Present value of periodic premium payments
- PV of Protection Leg โ Present value of expected default payment
- Breakeven Spread โ Fair spread where both legs equal (no-arbitrage condition)
- Loss Given Default โ Expected loss amount if default occurs
Required Inputs
- Notional amount ($1,000 to $999,999,999)
- CDS spread in basis points (0-5,000 bps)
- Recovery rate (0-99%)
- Risk-free rate (-5% to 20%)
- Contract tenor (1-30 years)
- Payment frequency (annual, semi-annual, or quarterly)
Methodology
The template uses the closed-form continuous-time solution for CDS pricing: ฮป = s/(1-R) for the hazard rate, with PV legs calculated as sยทNยท(1-e^(-(ฮป+r)T))/(ฮป+r). This elegant formulation, standard in academic finance, produces results within ~1% of discrete period summation while providing educational clarity on the underlying mathematics.
Assumptions & Limitations
- Constant hazard rate (time-homogeneous default intensity)
- Recovery rate fixed at contract inception
- Flat risk-free term structure
- No counterparty risk
- Continuous compounding for discount factors
- For educational purposes only โ not financial advice
Frequently Asked Questions
When you enter the market (fair) CDS spread, the two legs should be equal by no-arbitrage. This confirms the model is working correctly. If they differ significantly, check your inputs or consider whether the spread represents an off-market quote.
The Excel template uses the closed-form continuous-time solution from Hull's textbook, while the online calculator uses discrete period summation. Both give approximately the same results (~1% difference) and agree that PV Premium = PV Protection at fair spread.
Yes. Copy the Calculator sheet, rename it (e.g., 'ABC Corp 5Y'), and enter that contract's inputs. Each copy maintains its own independent calculations. You can compare multiple reference entities side-by-side in one workbook.
A fully interactive financial model with live Excel formulas, an Instructions sheet with usage guide, and a Formula Reference sheet with variable definitions and model assumptions. All formulas are visible and editable.
Microsoft Excel 2016 or later. The template uses standard Excel formulas only โ no macros, VBA, or add-ins required.
Yes. All cells are fully editable. You can modify any formula, add your own calculations, change formatting, or integrate the model into your existing spreadsheets.
The online calculator runs in your browser for quick calculations. This Excel template gives you a portable, offline financial model you can customize, save, share with colleagues, and integrate into your own analysis.
This template is provided for educational and personal use. You may use it in your own professional analysis and presentations. Redistribution or resale of the template itself is not permitted.
You can re-download the latest version from your account or by requesting a new download link. Free downloads are limited to 5 per email address per month.
