<t>thanks.here you assume that the expected survival probability of the tranche is given by the expected survival probability of the index CDS. Right ? Or how could we justify it mathematically ?since correlation does not play any role in this approx, on which tranches would you expect more error ? ...

I should maybe re-phrase it. Estimating the tranche new PV if you know the delta would be too easy. The point is : without using the delta, how would you calculate the PV with only the CDSW function on Bloomberg ?

<t>Suppose I sold protection on the iTraxx 3-6 tranche at 100 bp. The same tranche is now quoted at say 120 bp and I need to mark my existing position to market.I know I could use the standard one factor gaussian copula model to do it. But I heard there is also a quick trick consisting in assimilati...

<t>For a more formal proof, 2 papers seem to be a sort of reference :Rendleman Richard "Duration based hedging with Treasury Bond Futures" in The Journal of Fixed Income June 1999Kishimoto Naoki " Duration and Convexity of coupon bond futures" in The Journal of Fixed Income June 1998Does anyone have...

<t>When using the duration of the CTD at Futures maturity, is it really a fudge ?Deriving the theoretical expression of the futures theoretical price, shouldn't I always consider the CTD duration precisely at Futures maturity ?With this, I am just trying to compute the duration of a portfolio of Gov...

<t>Thanks FDAXHunter.I have been using the formula a) most of the time.But do you use -current the duration (or DV01) of the CTD -or its expected duration at the contract delivery ?Using the current duration of the CTD seems to overestimate the duration of the future by the time to delivery.(Suppose...

I reformulate my question :Suppose the conv factor for the cheapest to deliver is 0.93Am I insensitve to parallel shifts if I sell 0.93 future contract ?

<t>Here is my contribution :a position on a fixed income future is something like a barbell. But in my finance handbooks, the short term interest rate exposure is never taken into account. Unless I am mistaken, neither in Bloomberg.Instead of the "current" duration of the cheapest to deliver, it wou...

<t>Hi,Does anybody have and use an exact formula (or XL spreadsheet) for calculating the interest rate sensitivity (modified duration) of a bond future (like a Bund Future) ?I know how to correct the cheapest to deliver bond sensitivity or bpv with the conversion factor (this is written in every man...

<t>Ok, it might be more interesting if I explain what I am trying to do.If you look at historical spread vol and spread over swap for BBB, the levels are attractive.If expected spread = spread over swap, at first sight, I should buy BBB instead of AA.But with credit risk, I can also calculate an exp...

<t>I consider a bond quoted as follows :spread over swap : X bpasset swap spread : Y bpWhat is the expected rate of return over Euribor for an investment horizon of one year?If I am physically attaching an IRS to hedge the IR exposure, I might be tempted to answer Y bp.But in this case, I am assumin...

the worse is that the portolio is benchmarked against Eonia. I detailed the strategy in previous post (estimating the vol of a credit spread portfolio)I've appreciated your remarks on the subjectThx

"If the bonds are not very liquid in the first place and they are part of a buy and hold strategy, I'm not sure that I see the value of getting daily levels to mark portfolio value. "Except if you manage a mutual fund and clients buy/sell shares every day.

<t>Thanks for your reply.Here is the case. Consider a money manager whose main strategy is holding asset swap positions to maturity.Liquidity is not his major issue (maybe it sould but that is not the issue) and his portfolio his paid in a way to provide liquidity to the market. So he likes to trade...

<t>Shiney,If I understand you clearly, if you want to get the mark to market of an existing asset swap position (bond+physical IRS) you would :- price the bond with a spread over swap- price the Interest rate swap the usual wayI know a few systems and people who usually consider the whole package (b...