<t>Dear all,I need to understand the conventions used by Bloomberg (or any other provider that publishes Credit Index spreads or tranche spreads) for the quotation of the iTraxx and iTraxx tranches. 1. iTraxxLet's consider the serie 7, maturity 10Y (start date : 20/03/2007, end date : 20/06/2017). T...

<t>Hi all,There is something for which I need some precision concerning the quotation of CDS spreads on the main data providers (Bloomberg, Markit etc.).To illustrate my question, let's focus on 5Y CDS Spread quotation that I can find on a provider on the date 2007-08-22. Is this quotation the fair ...

<t>Dear all,It isn't a problem to build the BB tickers for options on DJ Eurostoxx 50 or FTSE 100 :ticker = Index_BB_root + Maturity_Month (in BB format) + Maturity_Year + Option_Type ('C' or 'P') + ' Y ' + StrikeHowever, this rule doesn't work at all for the SP500 and I struggle to understand the w...