While constructing yield curve Bloomberg uses some optimisation algorithm. Does anyone know what that algorithm is? Or to put in another words if I want to program that algorithm myself, what should I do.

<t>That point is also true that only bottomest of the lot require new skills but what if bottomest of the lot make 50% of total population? An Einstein does not require any body and will force God to open new avenues but the problem is Statistical in nature that not everybody can be an Einstein. Wha...

I agree with you but here there is a fundamental assumption that firm A' will be there but if that assumption does not hold ( as many in this forum can vouch) then?

<t>Hi Guys,Was just thinking about about the occupy wall street protest and its growing strength day by day I think at last the reality has reckoned to all of us but a few delusional folks here that the financial markets and quants profession are no more root to salvation (or for that matter for ear...

<t>Hi Guys,Simple (seemigly!) equity option question but no reply. As per dynamic hedging argument by mixing the bond and the option you have a risk less position so you should use risk free rate for option valuation. But look the argument again is the position really risk less or the position corre...

Hi,I have a basic question, which might have been answered in this forum but I am unable to search it that's why asking this again.In option valuation should I use the risk free rate or discount rate adjusted for credit risk for the entity. Your explanations will be of great help

<t>Hi Guys,But the ultimate question remains, is paying penalty in terms of money only is sufficient enough. Isn't it like reducing the guilty pangs for the party and would encourage people (who can pay the money) to continue with the same behaviour as earlier. Doesn't it give to illusion (or realit...

<t>Hi,In case of an FCCB ( foreign currency convertible bond) I am seeing this peculiar need for adding soverign spread to Corporate CDS spread no matter what model I use, why this is the case. What can be the possible reasons. Is it because Convertibles take into account ADR/GDR , which in turn are...

Its an FCCB and my question is arrive at the credit spread of the company, yeah the FCCB is in USD

So if I am trying to value a forign currency denominated debt of the company I need to add the soverign CDS spread alongwith the corporate CDS spread?

<t>Hi,My question is does a CDS spread of a corporate say CDS on an Italian auto maker, takes into account the soverign risk, i.e., the risk that Italy will default is embedded in that auto maker's CDS spread being quoted by the market. If not then if pricing a foreign currency note, should I need t...

<t>We are using the Anderson and Buffum Approach. My only worry is the use of credit spread, whenever I am using plain corporate CDS spread my price and market price have got big differences but whenever I am adding soverign spread to corporate CDS spread my price and market price are converging and...

<t>Hi,One more question suppose I consider an FCCB (Foreign Currency Convertible Bond) , and if no bond yield of the company are quoted but CDS quotes are available then how can I estimate the credit spread? Should I take into account only the CDS spread or should I add the soverign credit spread as...

Yes but there are many dimensions of price and money is only one of them. Don't you think just by converting the penalty into a single dimensional one (monetary basis), the risk due to high dimensionality has been ignored consistently and thus exacerbating the problem.

<t>Hi,Finally the news emanating of settlement with SEC. Is it fair and should it be allowed? . It has been allowed for past two decades which has culminated in the increase in number of crisis. Was this one of the factors of crisis (you know how to put up a stop loss which has showed all the charac...