Because an asset swap represent the total return of the bond vs a given payout structure, where as the default swap only represent the hedging of the default probability taking in account maturity and term rate structure.

<t>QuoteOriginally posted by: Traden4AlphaThat's a good question!Humans double in brain size/intelligence/smarts every 50,000 to 250,000 years. Computers double in brain size/intelligence/smarts every 1.5-2 years. We might quibble on exact conversion factor between mammalian neurons and GHz-transist...

<t>But why do brilliant people consider that "seeking for always lower costs" is the best way to generate profit.I love reading about quality, especially if it comes from the "made in china addict country"...ehhh...I can't remember the name...You know that four hundred year old country, build up fro...

<t>QuoteOriginally posted by: Traden4AlphaQuoteOriginally posted by: dunrewppRead the rest at Mathematically Perfected Economy.First, you need a Mathematically Perfected Human: one that is interchangeable with all others, makes the same choices as all others, and agrees in culture, politics, and rel...

<t>QuoteOriginally posted by: KackToodlesQuoteOriginally posted by: trackstarIt doesn't work if you try to go head on and get direct answers. You need to take an orthogonal approach...May take years of apprenticeship and observation. Is there a successful mutual fund based on psychic stock picking? ...

For sure it would be fun. I higly recommend a datscan for all active Trader.I think we attend the same event.

<t>Dear All;I have the following situation :A fund of hedge fundsA diversified base of indexes (from commodities to mainstream indexes)My Goal : Achieving VaR per liquidity Bucket; per market. Main principple would be to identify and hedge a predictible risk without being able to unwind the position...

<t>It an annual rate.The only thing is that is you have any debt paying Euribor, you have the mention of the reset period.A couple of example :A bond with coupon rate EUR6M+50.On each coupon date, x days before the coupon date, the EUR6M will be determined for the next coupon period.In your example,...

<t>10k for a strategy is completely irrelevant.Just for your record, a couple of years, a asset manager was very interested by an academic study on future trading using statistical arbitrage. The set up a fund, managed to raise a couple of millions, and start running the strategy.After 6 months, eve...

<t>There is no one unified way to do it, probably, but the same way, I'm finally not sure to understand what you mean by illiquid.The same way, what is the meaning of a price not reflecting a market deal ? (That's a pure opinion of PM)."corp bond is so unique and less trade in the market" In this ca...

Bidding is not sustainable because illiquidity affect price.But you should try a correlation between borrowing spread and default spread and I would sometime use analogy to find a reference bond basket and look at correlation.Never said you want to sell it.

That's why I send you ilsnum. It is designed for what you want to do.For the doc :http://ilnumerics.net/main.php?site=512

It is actually the spread you would get to borrow the bond.The hardest to find, the more expensive.The only real risk with illiquid bond is not pricing, it's default --> no way out.

Ever tried this ?http://ilnumericsnet.codeplex.com/Relea ... seId=18450

Why are you rewriting from scratch a generic array and don't use the ref keyword ? any particular reason ?