yep, options on fixed rate bonds as well as credit default swaptions

Hi everyone, can anyone recommend me any papers to read if I want to figure out how to find out how to compute the counterparty future credit exposure of bond options? what are the main risk drivers?Any advice or spreadsheet will be helpful.thanks a lot!

Hi, does anyone know how to calculate the expected loss of a a reset swap? Any literature that I can read on or sample to learn from? Thanks!

Hi, does anyone have any sample illustration on excel implementation of yield curve fitting using cubic B-spline basis? or it's not advisable using excel? Any advice will be most helpful.Cheers.

thanks guys. found all the comments pretty useful. Cheers!

<t>Hi everyone, I need to optimize an expression which is objective function, z = sum{[P(x1,x2,x3) - P]^2}where P(x1, x2, x3, x4) is a function with four variables x1, x2, x3 and x4 and whereby there're separate constraints on each of these four variables.May I ask if anyone has any similar ready VB...

Hi,does anyone know of any papers to read on active credit portfolio management?

Hi,Does anyone know of any website where I can obtain historical prices and yield data for Treasuries? Thanks!

Has anyone heard of something called yield beta coefficient and any idea how to compute it? Thanks!

Hi, does anyone know how to program a bond basis pricing model, i.e, a program to project futures prices over a range of bond yields?or any idea where I can source for some samples / codes?Thanks!

Hi, does anyone know anything about careers in bond basis trading vs. that of a credit exposure analyst?which one gives more prospects?

<t>Thanks mate.1. does the following logic sound right? Change in the 10y yield affects change in CTD which then affects the 10y bond futures prices, then the basis... or i'm missing something?2. What is the difference between implied repo rate (IRR) and market repo rate?If IRR exceeds market repo r...

Consider a 10y swap, but is hedged using a 7y treasury bond futures, how do I calculate / quantify the basis risk?

<t>Thanks very much for reply. 1. Does that mean that the Implied repo rate = 10year yield (in an ideal world with one CTD) or am I getting it wrong? 2. So how does one make any adjustment (if at all) on the Implied repo rate formula (given that there exists the CTD selection?)Sorry, need some clari...

does anyone know if there is a formula that relates a yield from a 10-y treasury bond to the futures prices of 10y treasury note?