so torontoyogi did you get a new job?

Hi, u may (as well) want to search the technical forum for n(d1).Y

<t>Well very very roughly for 1 corporate bond, interest rate swap, gilt of same maturity:(spread over gilt) = yield(corporate)-yield(gilt) and (spread over Libor) = yield(corporate) - swap rateso to switch from one to another you need (swap rate - yield(gilt))If I unterstood your question correctly...

<t>QuoteOriginally posted by: PakaDear All:Most books say the compensation equals (1 - recovery rate) times the face value of the bond (plus accrued interest)PakaThere is no explicit reference to a recovery rate is CDSs settlement mechanism. Either the CDS is physically settled and a bond is deliver...

<t>umpbumpfizz thanks for your kind help. I particularly liked the "when a cdo deal is made different prices r quoted from both the sides and negotiated" bit, pictures of people talking into telephones, jotting stuff on notepads, maybe swearing lightly, came to my mind: I saw nice ties, bespoke suit...

<r>QuoteOriginally posted by: gm152091Correlation is highly portfolio dependent, so you cannot simply enter iTraxx base correlations in a bespoke tranche pricing. At best, you can use the skew of standard index tranches to gauge the market's risk aversion w.r.t. several tranches.Ok so now I know wha...

<t>Suppose I have a model that allows me to price tranches and even takes the correlation smile into account. I have model parameters calibrated on CDS, Itraxx and CDX tranches markets. What's the experience of people on the forum as far as pricing tranches on a portfolio that is not the 125 Itraxx ...

Mkay..the thread was viewed 600 times but no answer...does that mean that no one has a clue?

How do I use them to value a tranche on any given portfolio (as the topic appears in several threads and I did not really find answersI thought creating a thread for it would be a good idea)?Y.

CDO2 if it is what you are after BPCI 12 shows compound correlation levels.Y

I like that kind of challenges. What about we all co-operate? I'll answer the last part of question 9.Y.

H do you know how to compute the PV of a CDS?

finance.yahoo.com only 60 html pages to copy/paste to excel

QuoteOriginally posted by: Herbiein the last 2 weeks, random factor loading ("RFL") models stopped working, tranche correlation models also stopped workingHi Herbie. Quite interesting stuff here. What do you mean exactly by "stopped working"?Y.

<t>Such a quiet thread. C'mon people, part of gossiping is about inventing facts. What about saying that on May 9th 2 London market making desks were each asked to bid for a half of the whole equity position of a US managed hedge fund holding what is believed to be the largest equity position and go...