How to price CDS Indices

A good introduction on how to price CDS indices (a basket of single name CDSes). And here is the link to the spread sheet.

Of course, you can always use the average of single name CDS spreads as a first order approximation, which ignores the spread convexity. The proper method, as presented in the spread sheet, is risky annuity/DV01 weighted average of these spreads.