Another Financial Portal reports the release of CDS Standard Model by ISDA (International Swaps and Derivatives Association) as
an open-source project
The software has its origins in the J. P. Morgan's CDS analytical engine; the latter is widely used in the industry to price CDS contracts
So, why a super-secret code has been converted into an open-source project? ISDA's stated goal is to enhance transparency and to optimize use of standard technology for CDS pricing; hopefully, this will lead to the development of the credit derivatives industry
as a whole
The unstated reality? It is a desperate attempt by the industry to salvage what is left of its credibility, crushed under the weight of the subprime crisis & its (continuing) aftershocks
You can download the source code and Excel add-in from the
CDS site. Markit is the administrator of this project and will provide source code development, maintenance & documentation support
Note: Came across this news first at Slashdot: http://tech.slashdot.org/tech/09/02/27/1847210.shtml