You're right. Somehow I assumed that CDS spreads should be the same as the LCDS spreads, even with different recovery. Thanks.

<t>Suppose I have a CDS and a LCDS on the same name, and both contracts say for 500bp. If there's no cancellation clause on the LCDS then the pricing of a LCDS should be the same as the CDS (though using different recovery). If this is the case should the accrued interest for both contracts be the s...

<t>Thank you all. mromwell, publicly Markit only provide previous day but no historical? I figured out a way to get historical CDX spread/price in their pay portion of the site. Now here is another problem.For certain off-the-run CDX they may not have spread/prices on the day I want but they might h...

Some of the earlier off the run CDX may have different (or less) names making up the index than the newer ones, via credit event etc. Can you still imply the spread in this case?

<t>I'm trying to value a portfolio of CDX's, most of which are off-the-run (currently the on the runs are S13's). For many off-the-run CDX's Markit do not provide a quote. I have also tried CMA but I'm not sure if their quotes are reliable as they can be based on historical/stale data (they show no ...

Cryptography: If you're US citizen then NSA is the place to go. Canadian version is the CSE.Other places that require lots of maths are telecomm (Qualcomm), defense (Raytheon), and numerical software (Matlab, Maple)

<r>E. Picoult had a presentation on Counterparty Credit Risk where he breaks the CVA down into CDS and swaptions. This may give you a good starting point.<URL url="http://www.prmia.org/Chapter_Pages/Data/Files/2082_2848_Evan%20Picoult_presentation.pdf"><LINK_TEXT text="www.prmia.org/Chapter_Pages/Da...

I ordered it from Amazon with ~30% off last week, but won't ship until mid May - June.

Have anyone heard of this book? If so, any reviews? Thanks.amazon link

<t>I still don't understand about the payoff of the treasury lock. Can I get an example on the payout of the treasury lock? I take it this type of agreement is usually used to hedge a upcoming bond issue, so would the cash settlement from the t-lock looks something like (P_t - P_lock)*PV01*Princ?May...

Does current technology in numerical analysis allow finite difference algorithms to be split up and run on, say, a grid, like MC could? If so, can anyone provide references?

Chinese-Made Cribs Recalled After Three Children Died

I've done that on my resume (putting 7city down) when I was looking for work, and none of the non-UK firms have any clue as to what that is (with the exception of firms who actually know what the CQF is). I eventually resorted by adding something with Wilmott on the same line.

As China Roars, Pollution Reaches Deadly Extremes