I just checked one year's of bars for SPY (S&P 500 ETF) that I imported from IB and compared them against Yahoo's data.It does not appear that IB makes any adjustments for the dividends that were paid.

Fincad article

<t>Not easy to calculate the risk premium component. I did something around eight or nine years ago, using KMV 5y empirical default probabilities to calibrate to market spreads, using a market price of risk term as the free parameter. It is interesting to note that this premium can go negative when ...

<t>By recollection, I believe Paul was describing in his book an exotic where gamma changes sign. As you change volatility, therefore, the net change to the value of the option can look quite small. Using an "uncertainty" model, you specificy a vol range (e.g. 20-30%) and then use finite difference ...

<t>QuoteDoes that mean the market implies that there is a 10.35% chance that underlying bond(s) will default ?No. It means that if was the spread for a corporate (i.e. not a basket of credits), then there is a 10.35% risk neutral probability that it will default if you assumed a 40% recovery rate.1)...

<t>Most likely a combination of factors, but difficult to say without knowing more about the security in question. I would say it is both taking the risk of credit losses (i.e. there is some systemic credit risk priced in) together with a liquidity premium required to sell a complex, illiquid asset ...

<t>I have been asking about this point as well. Given the collapse of the equity markets and the drop in yields, pension deficits should be exploding. There is a recent FT Article on this subject."Since January, global pension plan assets have plummeted by $4,000bn (£2,680bn, €3,026bn), according to...

<t>LTCM was a carry trade.When you borrow to finance a trade, you are leveraged and exposed to the risk of insolvency. If rates go up, the value of your zero coupon bond plummets but the amount of your debt stays the same. Assuming the zero coupon bonds were the collateral for the loan, the broker w...

Nope. Most upfront payment structures require an initial payment and then a risky annuity (e.g. 500 bp per annum). Again, you need a curve to discount this annuity stream and you only have one point at the 5y.

<t>The question is like asking someone how to get the one year interest rate given that you know the yield on a 5 year bond. You don't have enough information.However... Given that the 5y is 3750 mid, I would surmise the curve is inverted (i.e. the short end implies a higher default probability than...

aren't you trading under a collateralised ISDA?

"When Professors Scholes and Merton and I invested in warrants, Professor Merton lost the most money. And I lost the least." ---Fischer Black (1938--1995)

Have a look at this thread.

For semi-annual compounding, the 3 year discount factor would be DF(3)=1/(1+3.724%/2)^(3*2) = 0.89521.As daveangel says, you cannot determine rates for periods in between without knowing the swap rates for the shorter tenors.

<t>"You're walking around blind without a cane, pal. A fool and his money are lucky enough to get together in the first place. " Gordon Gekko, Wall StreetEthics aside, innovation is the seed of capitalism. You can't test a strategy without trading it, and you can't trade it without having someone fr...