iCDS is a SNAC (Standard North American CDS) upfront fee calculator built on the ISDA Standard CDS Model. It mirrors the indicative-pricing workflow originally found on the Markit Partners CDS calculator.

The app is free. Its only objective is for the author to have a non-trivial application in the iPhone App Store.

It recalculates the upfront fee and intermediate results live as you change inputs — using quick-entry controls or the pickers reached by tapping the input buttons.

I started this project when as a 'former' Mac developer I was swept up by the excitement of the iPhone App phenomenon. This led me to a drive to get a non-trivial application into the App Store. I convinced my family to buy me a MacBookPro for my birthday in Sept, 2009 and about 20 hours of effort latter I had my first GUI prototype running on the simulator.

Along the way I have learned a lot about the rich environment of information sharing now happening in the development community. I was re-introduced to the Apple Development Tools (XCode) and the Snow Leopard OS. Not having touched MPW(Macintosh Programmers Workshop) in over 15 years, it was like I never left home with the added power of the underlying LINUX environment that I am well versed in using every day at work. I then was introduced to new resources including ITunes U, blogs and code.google.com.

Please post feedback to ITunes! For support please create a ticket at: https://github.com/jimzucker/iCDS/issues

• Now on Android — full Flutter / Dart-FFI port with bit-identical numerical results to the iOS app. Available on Google Play.
• Default-risk-by-maturity chart — cumulative default probability implied by the quoted spread at each tenor; tap a bar to switch maturity.
• First-order risk row — CS01, IR DV01, and Rec01 computed by bump-and-reprice, so you can see sensitivity at a glance.
• Modernized SNAC conventions — EM moves to T+1 settlement (was T+3); subordinated recoveries lowered (EM 25→15%, Japan 35→15%); Japan adds a 500 bp coupon.
• In-app Diagnostics tab — deterministic self-tests for the C engine, IMM helpers, regional holiday calendars, and live rate fetchers — verify everything works on any device.

• Six regional ISDA contracts: NA, EM, EU, Asia, Japan, AUS
• Live overnight reference rate curves from five central banks: USD SOFR, EUR €STR, GBP SONIA, JPY TONA (monthly proxy), AUD AONIA
• ISDA CDS Standard Model C library upgraded to v1.8.3 with full IR zero curve construction
• ISDA RFR test grid validation across all five currencies

• SNAC (Standard North American CDS) upfront fee calculator using the ISDA Standard CDS Model

Copyright © 2010-2026 James A. Zucker.

iCDS application source code is licensed under the Apache License, Version 2.0 — see LICENSE or https://www.apache.org/licenses/LICENSE-2.0.

• ISDA CDS Standard Model (C library, icds/isdamodel/) — © 2009 International Swaps and Derivatives Association, Inc. Licensed under the ISDA CDS Standard Model Public License — see Licenses/ISDA_CDS_Standard_Model_Public_Licence_1.0.txt. Available at https://www.cdsmodel.com.
• Flutter / Android pub dependencies (shared_preferences, http, intl, ffi, plugin_platform_interface, url_launcher, cronet_http, in_app_review, cupertino_icons) ship under BSD-3-Clause or MIT. See NOTICES.md for the bundled-components inventory, or the hosted Licenses & Acknowledgements page for the full verbatim notices.
• Reference rates are fetched live from public central-bank endpoints (NY Fed, ECB, BoE, FRED/St. Louis Fed, RBA) and used for indicative pricing only.

This app produces indicative pricing for educational purposes only. It is not financial, investment, or trading advice, is provided AS IS without warranty, and is not suitable for booking, settlement, or trading. Not affiliated with ISDA, Markit, JPMorgan Chase, or any rate provider.