Hi Guys! I am writing to ask you if someone knows the margin requirements in order to trade in OTC  iTraxx, both Main and Crossover, and CDX (IG and HY), with a CCP.  Cause there are not a lot information on the CCP websites, and there are few information regarding OTC CDS indices transaction, just ...

<t>Hi Bearish! Just one question. I used the command in Matlab ( I used the command cdsrpv01) in order to get the risky annuity and I get quite consistent data. However for just few quoted spread I get strange result (complex numbers). How can I do? These strange results are when I have an hazard ra...

<t>Hi all! I wanna ask you if someone knows the exact formula, through which Bloomberg compute the risky annuity for a cds. I know Bloomberg uses a simplified formula for risky annuity, using a flat spread, and maybe it assumes that the payments of a cds are made at the maturity.Thank you in advance...

you are right bearish. But in the integral which interest rate should I use? Because I have a term structure of interest rate (libor and swap rate). I have to use just one interest rate right? Thank u bearish!

Hi bearish! I wanna to ask u a confirmation about this formula in order to compute the risky annuity with flat hazard rate: A=e^(-rt)*e^(-λt), where the first term is the discount factor. Right?Thanks!

Yes. But it doesn't mean the term risky annuity. I am looking to compute the time series of risky annuity using a flat hazard rate curve. Could you tell me the formula for risky annuity bearish? Thanks!

OK..but How can I compute the risky annuity with the few data I have? What is the formula of risky annuity?

<t>Hi Guys! I wanna compute the intrinsic value of the iTraxx Crossover. I have the time series of the spread of the iTraxx Crossover and the time series of the spread of the single names. How could I compute the upfront payments for each single names? I know I should have the time series of the ris...

<t>Hi Guys! I wanna compute the intrinsic value of the iTraxx Crossover. I have the time series of the spread of the iTraxx Crossover and the time series of the spread of the single names. How could I compute the upfront payments for each single names? I know I should have the time series of the ris...