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by viking66
January 28th, 2013, 8:21 pm
Forum: General Forum
Topic: cds inbdx option data
Replies: 1
Views: 8896

cds inbdx option data

HelloI'm looking for a data source that will sell data on cds index option prices &/or volatility to third parties. Does anyone know of such a source?Thanks
by viking66
October 4th, 2011, 1:58 pm
Forum: General Forum
Topic: First to Default Bond Loss
Replies: 2
Views: 20108

First to Default Bond Loss

<t>The 'usual' case is the loss based upon the entire notional in the defaulted name. You will need to review the deal specific docs to determine the actual loss. As you say this is a FTD bond, it may be that the market values of the other reference names come into play. It may also be the case that...
by viking66
April 19th, 2011, 6:07 pm
Forum: General Forum
Topic: Bond equivalent market value of a CDS
Replies: 15
Views: 53595

Bond equivalent market value of a CDS

I've seen the term but I have not seen it defined. I suspect it is the upfront premium/ or discount expressed as a bond price. For example if the upfront is 5%, then the bond equivalent value = 105, & if the upfront is -5% then the bond equivalent value = 95.
by viking66
April 18th, 2011, 1:23 pm
Forum: General Forum
Topic: bond price data
Replies: 12
Views: 24067

bond price data

<t>I am looking global govies & corporates (including but not limited to the US). Bloomberg is not an option, nor is IDC an option. I am looking for a daily feed of values & also need contractual details of each (ie, coupon type, reset index, coupon frequency, maturity, embedded optionality,...
by viking66
April 15th, 2011, 12:34 pm
Forum: General Forum
Topic: bond price data
Replies: 12
Views: 24067

bond price data

Thanks for the replys. I'm willing to pay for data. Reliability, quality, timelyness, coverage are most important.
by viking66
April 13th, 2011, 7:36 pm
Forum: General Forum
Topic: bond price data
Replies: 12
Views: 24067

bond price data

I am looking for a source to provide daily data on bonds (corporates & governments): prices & contractual features of each. Any ideas (other than Bloomberg)?Thanks
by viking66
March 4th, 2010, 3:06 pm
Forum: Technical Forum
Topic: indeterminate deposit maturity modeling
Replies: 4
Views: 34860

indeterminate deposit maturity modeling

<t>This is a really interesting problem. These deposits are a large part of a banking book & a super low cost of funds. The Jarrow/van Deventer model attempts to develop an option type model for this. I found a problem that they assume the maturity is infinite. Obviously in practice this is not ...
by viking66
November 26th, 2009, 8:07 pm
Forum: General Forum
Topic: Default probabiblity CDS
Replies: 4
Views: 33657

Default probabiblity CDS

Check Markit's website fro a paper like "Forthcoming CDS Convention Changes" - this give some default assumptions around sneiority & soverieng as well as regional.
by viking66
February 4th, 2009, 4:48 pm
Forum: Programming and Software Forum
Topic: Synthetic CDOs - Numerix vs. Quantifi vs. FinCad
Replies: 11
Views: 84467

Synthetic CDOs - Numerix vs. Quantifi vs. FinCad

<t>I've used all three, fincad, numerix & quantifi for cdo pricing I rank them as 1) numerix 2) quantifi, 3) numerix. Same ranking for difficulty of use. The last version of fincad i used (v9 maybe?) did not have any built in functionality for base correlation mapping for bespoke portfolios, nor...