How does that work exactly?

<t>I've been looking at the theoretical price of the SPY, adding up the weighted sum of the member prices using the SPY's creation basket and estimated cash component.I'm surprised to find that this value deviates so far from the actual price of the SPY. Many days, it seems to be very skewed to one ...

The auction took place yesterday to settle CDS. Surprisingly, senior is settling at a lower recovery rate then subordinated. Was this just a result of supply and demand for the bonds at settlement? This seems clearly broken from an economic standpoint! What went wrong here?

I've been using log-normal volatility for my interest rate option models. Considering making the switch to normal volatility. What are the advantages of having this? Will I have make more accurate delta hedges? Any color on the benefits of normal vs. log-normal appreciated.

Hit the submit button twice apparently. Sorry

<t>I am hearing that the "convention" for the effective dates of an interest rate forward and an interest rate swaption are different. Am I correct, or am I misinformed?So for a 1 month forward, I'm seeing an effective date t+2days+1monthFor a 1 month swaption, I'm seeing an effective date (assuming...

Thining about purchasing intex. How much do people pay for their services?

Anyone familiar with the Lehman bond indices? Does anyone know how Lehman handles defaults, i.e., if a bond in the index defaults, how does it affect the index returns?

Interesting... Furthermore, what happens with a credit index in the same situation? The credit indices have an effective date in the past, before the trade date.

I am trying to back out correlations for my high yield credit index tranches with fincad. It is taking me more than 40 minutes to price correlations for a single set of spreads. Has anyone has any luck pricing high yield spreads with Fincad? Am I doing something wrong?

Sometimes, the credit spreads quoted in the market are so badly misshapen that I can't compute a default probability curve. In practice, how does one get around this problem to value a CDS position?

What is the difference between the MMD index and the SIFMA index?

I am interested in historic CDS data. I have been comparing 2 vendors, CMA and Markit. Does anyone have any opinions about which is better?

<t>I have two data sets:1) Equities. referenced by CUSIP2) Credit Default Swaps Curves, reference by CLIP which links to a specific CUSIPI want to join the two together to investigate relationships between equities and credit. Naturally, I am looking at matching the issuer part of the CUSIP (i.e. th...

How are the profiting off volatility that keeps going down and correlation that keeps going up?