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l7nk37
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Posts: 10
Joined: March 16th, 2004, 9:00 pm

Bond RV Measures calculation methodology

April 8th, 2012, 11:39 pm

Beyond the Lehman 2004 paper, is anyone aware of a site where there are precise definitions and/or mathematical descriptions on how to calculate bond relative value measures?Specifically, I am referring to bond basis, credit basis, discount margin, G Spread, I Spread, OAS, par ASW, par equivalent CDS, Zero discount margin, and Z Spread.I have put the first version of such a spec on the Credit Analytics qfcl site, but we can keep this a living document, correcting/modifying it as needed.http://qfcl.wilmott.com/media/upload/wi ... .pdfThanks,- Lakshmi
Last edited by l7nk37 on April 8th, 2012, 10:00 pm, edited 1 time in total.
 
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Polter
Posts: 2526
Joined: April 29th, 2008, 4:55 pm

Bond RV Measures calculation methodology

April 8th, 2012, 11:59 pm

I'm afraid I won't be of much help here, but have a small suggestion: remember to mention that RV stands for "Relative Value" in your case (I'm guessing), my first instinct was to think of Realized Volatility.
 
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l7nk37
Topic Author
Posts: 10
Joined: March 16th, 2004, 9:00 pm

Bond RV Measures calculation methodology

April 9th, 2012, 1:05 am

Thank you, just corrected RV to Relative Value.
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