The big JD leaves town for a few days to pontificate and ski and the office just melts down and starts giving away critical intellectual capital. Boy is he going to be mad when he gets back.
In this particular case, to the gleeful joy of finance geeks everywhere, JP Morgan has assigned ownership of its Credit Default Swap Analytical Engine to the International Swaps and Derivatives Association, which plans to make it available as open source. That’s pretty sexy.
“J.P. Morgan has invested a lot of intellectual capital in this analytical engine. Its willingness to assign this to ISDA for us to make it available as open source to the entire industry demonstrates our collective commitment to the integrity of the CDS product,” said Robert Pickel, Executive Director and Chief Executive Officer, ISDA. “ISDA and its members are vigilant to public concerns around transparency. This is yet another measure of increased standardization in CDS.”
ISDA Announces Agreement [IDSA.org] via Alea
Jesus, now they think they can get the work done for nothing.
to any trading desk that can’t model a cds contract but still trades them, please call me… I have some trades to do with you… in size.
But it’s still garbage in, garbage out.
Does JPM get paid for every transaction?
in other news, mr pink got the pink slip. to the bar we go!
-mr pink
in other news, mr pink got the pink slip. to the bar we go!
-mr pink
christ, talk about closing the barn doors after the horses have already run away…
How is the ruble going Mr Putin?
If I were a competing unit, would I even want to use JPM’s engine? What’s the point of this move by JPM? Seems stupid.
They’ve been giving this thing away for years, on bloomberg type “CDSW” it uses the JP model.
Isnt a uniform model for pricing CDS a good thing?
>Isnt a uniform model for pricing CDS a good thing?
the divergence of model output is what creates a market. Perhaps you’re suggesting that there be no market and that pricing stays at a fixed rate per the model.
Isn’t this basically admitting it doesn’t work well enough for them to turn a profit? Are they expecting a tax deduction for disposing of their garbage in a “good” way?
Reading DB at work IS more fun!
CDS are easy to price plus they’re not giving away anything unknown. The issue is the CDS market itself, not the pricing.
@mrp – Sorry to hear, see you at said bar. My lump of coal came just in time for Xmas. Dirty martinis all around.
Everyone uses the same JPM CDS model. It’s the Synthetic CDO Tranche models that are proprietary.
C’mon folks S=P(1-R) isn’t that difficult to remember.
failed binary version control? yes, definitely from jpmorgan.