<t>Yep, its a bit fiddley, but can be done, essentially using the code below:ActiveSheet.Range("a1").CopyBlp = DDEInitiate("Winblp", "bbk") Call DDEExecute(Blp, "<Blp-3>" & "<paste>") Call DDETerminate(ch)However its a bit temporamental and you may find you need to use <back><down><up><tabr><cop...

<t>I have a portfolio of corporate bonds and according to my risk worksheet in Bloomberg my val .01 (i.e. interest rate risk) is virtually flat net and very minimal in each risk bucket (these are 0-1, 1-2, 2-5, 5-7, 7-10, 10-30 years), thus again according to the system I have very minimal curve ris...

Have sent you a pm with my address, much appreciated. Tks

Yep fair point, I've divided the periods by 2 and applied a spread of 198bps into the DCF, but still don't really get that close, any ideas what am I missing here?

<t>Hi,I am trying to replicate Bloomberg's YAS screen, in Excel, it doesn't need to be spot on as obviously the variables change intraday, however at the moment, I'm miles off! I've attached my spreadsheet and a grab of the YAS that I'm trying to replicate. Can anyone see where I've gone wrong (I'm ...

Ok guys, clearly from the lack of responses I'm guessing everyone feels this question has been answered elsewhere, but if thats the case I still can't find it!If someone could point me in the right direction that would be much appreciated!

<t>I thought this would be relatively straightforward, but I can't seem to find an article online, or a thread on these forums...Assuming I have a portfolio consisting of 100% corporate bonds, each bond has a different benchmark security, I have the following information available:Corporate Bonds:No...

Ah great, thanks!

<t>Hmm, so to make sure I understand this correctly, I think what you're saying is that:If I'm long Corporate Bond X and have a PV01 of PV0X and I short the relevant benchmark which has PV0Y, I am now flat interest rate risk (we'll assume PV01 neutral here), but my credit risk is actually still PV0X...

<t>But if I break it down like that, then surely if I have PV01 of x on a swaps position, then if I have PV01 of x + 50 on a Corp bond position, can I then assume my CS01 = 50?Not sure I fully understood your last example...As an alternative, can the Z-spread be used as a reasonable approximation, o...

I see that, but PV01 is reasonably easy to calculate, however how can I derive the portion of risk that can be specifically categorised as Credit Risk and hence put an actual CS01 figure on it?

Ah interesting, I've never heard of the term (presumably Credit Spread 01, I'm guessing)?Do you know how this is calculated, both google and this forum seem to have very few hits when typing it in?

If I'm long a Corporate bond and short the relevant benchmark so that I am flat DV01 I still have implied credit risk, but how can I measure this?I appreciate I can hedge this with a CDS, but is there a way of actually quantifying this risk?

<t>I can't seem to find a definitive answer on this, but from what I can see, on a bond PV01 and DV01 seem to be used interchangably, however on a CDS contract our risk systems refer to PV01 as the interest rate risk on a CDS, whereas DV01 (CR01) is the credit risk (i.e. the market risk in this case...