<r>QuoteOriginally posted by: jeff00Thanks for your advice. Your comment is a great comfort to me But Is that Assumption OK? Cos I'm worring about the error caused by difference between arithmetic & geometric avg.a year late, but for anyone coming upon this topic via google, there is a paper tha...

<r>If anyone is still looking for this article, you can find a similar (longer) version on the Haas working papers site in the section titled Currency-Translated Options (p. 108):<URL url="http://www.haas.berkeley.edu/groups/finance/WP/rpf220.pdf"><LINK_TEXT text="http://www.haas.berkeley.edu/groups...

<r>Hey stranger,you can find details answers to your questions (and more) in the following document:<URL url="http://www.markit.com/information/products/cds/cds-page/widget3/contentParagraphs/0/text_files/file13/CDS%20Big%20Bang%20-%20Mar%2013%202009.pdf"><LINK_TEXT text="http://www.markit.com/infor...

<t>Well the first move is that everyone is switching to standard coupons, 100bp for IG names and 500bp for HY names. So from March 20 onwards when you enter into a CDS you pay an upfront fee plus the appropriate spread. This will make novations much easier as well as early termination. This is the f...

<t>Well there are general rules that determine what the reference entity is after a merger. Check out the ISDA agreements for details. It can be tricky calculate the CDS spread after the deal, but I would first figure what the new reference entity is and then approximate it as the CDS spread for tha...

<t>Thanks Z. I guess this convention makes it simpler to trade. I suppose most people look for arbitrage between the index and it's underlier's rather than across maturities, although I suppose one could concoct some (statistical) arbitrage trade using different maturity single-name and index swaps....

<t>Hi All,I noticed that whenever I pull up a single-name CDS on bloomberg it fills in the par spread curve with a full term structure, but whenever I pull up an index like CDX IG it just gives me a flat curve. Does anybody know if this is a market convention? I've always used the full term structur...

<t>Hi Ziggy,The reason they only allow two fixed running coupons is because on March 20 everyone is supposed to switch to that convention. So IG names will all trade upfront +100bp running coupon and the HY names will continue with the upfront + 500bp running coupon. But I agree it is annoying if yo...