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

<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...

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.

<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,...

Thanks for the replys. I'm willing to pay for data. Reliability, quality, timelyness, coverage are most important.

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

<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 ...

Check Markit's website fro a paper like "Forthcoming CDS Convention Changes" - this give some default assumptions around sneiority & soverieng as well as regional.

<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...