hi,Can anyone tell me how bank measures CS01 of a Corp bond portfolio and CDS porfolio?

<t>hi, thanks for all the answers I received. However, I still have some question that I hope someone can answer them:a) How trader mark to market their CDS portfolio? Using in house model or take the price from the broker pages?b) How do you obtain the implied survival probability and recovery rate...

hi Greg, it is price gap.

hi,Can anyone tell me how trader manages their CDS portfolio? I understand that for IRS, trader uses PV01 to monitor their postion and hedge their bucket risks accordingly.Thanks for any help in advance.

Hi Afoster and Spursfan, thanks for the reply. I will give it a try first. Basically, what I am trying to do is to create a spreadsheet, which allows me to transfer data entered on my spreadsheet to MS Access.

hi,I am trying to create a link between MS Excel and Access where I can use MS Access as my database but MS Excel as my frontend. Can anyone help me on this? Thanks

<t>Hi, can anyone help me on the following? a) Am I right to say that it is the market convention to quote a covered swaption or a covered cap/floor over the broker market unless otherwise agreed by both sides?b) How does trader hedge their swaption in practice? duration weighted through the IRS mar...

Thanks Clopinette for the answer. Is my first time calibrating market data to model. Guess I will use my own numbers for market without ITM and OTM quotes.

Hi,Can anyone tell me how to calibrate a SABR model when ITM vols and OTM vols are not quoted in the market?Thanks in advanceamkey

Thanks a lot for the reply amkey

aiks... ok.. thanks for the answer. So there is absolutely no other tricks for this mj?amkey

Hi, I have a zero coupon curve using today as the start date. Is there any way I could use my curve to obtain a discount factor 2 years ago? Thanks for the help in advance amkey

Hi Pat,Thanks for the reply. =) Amkey04

Hi, I have a few basic questions on option vols which I hope someone can answer them,a) Is market quoted vols on broker page lognormal vols?b) If is lognormal vols, why we need to calculate normal vols?Thanks a lot for any help in advance Amkey04

ah... i see now. thanks for the help afoster amkey04