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by AlfaBeta
July 16th, 2008, 11:16 am
Forum: Programming and Software Forum
Topic: close-to-maturity CDS and Fincad XL
Replies: 2
Views: 53051

close-to-maturity CDS and Fincad XL

<t>Hi,I use Fincad XL v.9 for pricing CDS and noticed that when pricing CDS close to termination date (20–Sep-08) Fincad uses 6 months spread as par spread. I understand that it should interpolate between 6 months spread and zero (as probability of defaulting today is close to zero), so the par spre...