I'm trying to implement the add-in for CDSW via cdsmodel.com .. anyone have a layout that they can post? Or Pm me for email address. Cheers

The Implied spread is similiar to the implied yield on a bond. Ie. the LCDX S10 has a coupon of 325 bps at par, as this is now trading low 70s, the implied spread is 2000bps+. Implied spread/yield given the price of the index.

<t>Your math for the Mezz tranches is right, though when deltas are quoted they are for the future, ie. donlt take todays delta and apply it to yesterdays prices to see changes...instead take yesterdays ref. and delta, note the change, and see the tranche movements. For the 0-3% and 3-7% that trade ...

<t>May seem like a basic question, but with the recent high demand for ST bills that yield something close to keeping wads of cash 'under your mattress', why does the Fed limit the notional amount borrowed? Ie. if demand is for $57bb and Fed only allocates $27bb in 3m T-bills, why would the Fed not ...

<t>From my understanding, the difference between the intrinsic is due to the restructuring language differentiation [assumed to be 5% as a standard] and also the fact that sellers of risk are more active seekers of liquidity in credit protection than long investors as CDX is more liquid than the und...

<t>In LCDX, the 0-5% and 5-8% are traded as upfront notional paid/received and no running coupon.They map the LCDX to HY due to expected loss circumstances.I'll use your quote below at 94%, actually lets assume the market is " 94% / 94.5%" REF 84 5YIf you BUY protection [lift the market] you pay 94....

<t>Hey,If you take x / (1/n)*LGD = # credits until tranche attachment point has been breachedwhere: x = attachment point [.03] n = # credits in CDO pool [125] LGD = loss given default [i assume 60%]Under normal circumastances, you buy/sell the delta weighted amount of the underlying index [iTraxx] t...

<t>Interesting. have you considered buying first-loss tranche [equity] protection on the iTraxx? YES, i know its expensive...i am not sure exactly where the expected loss % is for the index itself, but back of envelope math, you are buying protection on the first 6.25 names to default. If you expect...

<t>Clop,You have to add the coupon. It trades like a bond, so if it was trading at Par [100] you would be receiving 225bps until maturity. So, the yield recieved is inverse to the price of the bond/index [Finance basics].What I was explaining below is that if the Price is "95.307" then, ceteribus-pa...

<t>I agree with SC below,It doesn't make sense.Why not just buy prot. on the names/unwind/assign if ITM. Look at the basis cost to hedge the position, alternatively, look to take highest risk credits and create an FTD/NthTdef. basket. Also, assuming you would buy a static notional of each underlying...

<t>If you have access to M.S. documentation, look at the Structured Credit handbook which graphically represents changes in correlation [not affecting skew] and the impact on the tranches. Equity pieces are the most impacted by moves in correlation, ie. as correlation moves the Equity 'Rho' sensitiv...

Coupon on the 5Y HY is 500bps [at par] 100When its trading at 90.273 [last quote I see] its (100-90.273)*100 = 972.7bps (972.7/DV01) + 500bps = spread DV01= 3.25 so spread is 799 as reported by markit.

<t>I am working on MA from Colum. - past exerience in trading. Recommend focusing on FE program there or NYU for trading or just MBA. Stats is good - but need others [ie. Stochastic Calc/Diff Eqs/Stochastic methods in fin.] not seeen as prereq. for Stats only and demanded for certain trading jobs. G...

<t>1) You use DV01 as a measure to M-to-M your portfolio. Your risk should be calculated on this, notional, as well as greeks associated [gamma/convexity and theta] depending on maturity. 2) CDS is an off-balance-sheet item [check recent FAS statements] - though sometimes depends on the buy-side fir...

Except for HY Tranches - they trade upfront only with no running spread. [the 0-10% and 10-15%]