<t>Hi,The library you need depends of the use...- I agree with Squad about Fincad... it is not ultra user-friendly, takes lots of time to setup and pricer is not the fastest for one deal. It's good to price a specific trade and to make some analysis but not for evaluating a proper portfolio.- Quanti...

<t>Actually, the point of the arbitrage is to make money in a risk free position...Nowadays this strategy does not exist anymore... you always take a risk...The real old convert arb strategy was to have a cb against a stock + call option... this does not work anymore....Now when you just have a stoc...

Hi, can I have a copy as well please ?piotr@caramail.comMany thanks...

<t>Basically, I don't put the detail in the spreadsheet but obviously all the curves don't come from marks. Some are built.I always have the name of the contributor of each quote so I know if one was interpolated/built or just extract from a bloomberg quote I receive from brokers.Actually, some brok...

yep...

<r>And let me add some quotes for those interrested, as I know it is not easy for students to find recent data...Here are some CDS indices quotes... (with all the tranche split...)Hope it will help...Obviously those data are only a snapshot of the market as of today (10th April 2006) and "might" con...

actually, allenishands, I extracted them 3 minutes before publishing them in this thread... so "relatively" fresh... (5th April 2006, 03.52pm)Hope it wil help...

<r>Actually, I found another interersting article...Have a look...<URL url="http://www.noelwatson.com/blog/PermaLink,guid,c4fa6029-44b9-4ba6-bb69-b6e0236f1e5a.aspx"><LINK_TEXT text="http://www.noelwatson.com/blog/PermaLin ... f1e5a.aspx">http://www.noelwatson.com/blog/PermaLink,guid,c4fa6029-44b9-4b...

<t>Wibble, as NoelWatson mentionned, it reads all the quotes you recive. So if you receive quotes from all the big players, you get a top curve. It is not a question of having 5% of the market using quotevision.As I receive a lot of marks from the sell side, my quote are in general very good indeed....

<t>First, I would like to say that I don't have any shares in the company.... Wibble, the tool does read all your bloomberg, whatever brokers you have... (and it does the same with other people who use quotevision).Bloomberg works more like Mark-it actually, but this Quotevision tool is different......

<t>Bloomberg is far from being accurate on CDS.Mark-it is good but expensive and even at this price, you get bad quotes as for some illiquid cds the marks are crap.And even if you get 4 quotes sometimes the spread is far from being reflecting the market. (Mark-it just take the quotes from market par...

<t>actually, after talking with some friends from other banks, it seems that, as usual, 90% of people are usung words they don't understand and that is improper.This "skew" does not have anything with any quantitative measure... it is more related to the liquidity of each components and to the the b...

<t>Hi everybody...Suppose you have a portfoliio of stocks that did pretty well so far... up 50% in 6 months...They are from different sector, relatively uncorrelated and all are potentially OPA target, explaining the big moves.... ( I know, today, half of the equity market is target for an OPA or a ...

<t>Hi everybody...I have a little and probably simple question for most of you guys... (I hope !)Basically, there is a skew between the quote from the ITRAXX and the sum of all ist components. (raw skew= Itraxx-sum(i=1to40,Component(i) )This skew is equal to the raw skew + a convexity adjustment.And...

yep, it look to be the same, but in this case, why another name ?I am sure there is a catch somewhere....