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by JoeyD123
April 1st, 2010, 3:41 pm
Forum: Technical Forum
Topic: General Question about CDS/IRS Resets
Replies: 3
Views: 30162

General Question about CDS/IRS Resets

For CDS, effective date is T+1 so would think that you would accrue $10mm (your original notional) through 3/22 and $8mm for 3/23 going fwd..
by JoeyD123
February 24th, 2010, 4:27 pm
Forum: Trading Forum
Topic: Default probability with CDS at 15000bps
Replies: 8
Views: 50295

Default probability with CDS at 15000bps

It's a cumulative probability for the 5yr - convert it to a hazard rate and you can then get the probability for any time period
by JoeyD123
December 31st, 2009, 4:25 pm
Forum: Programming and Software Forum
Topic: Future of VBA for Finance World
Replies: 10
Views: 40383

Future of VBA for Finance World

<t>Wherever I go, I can always count on having VBA available to me where I can do simple database calls, functions, etc.. This is without having to go to someone in IT to justify why I need so-and-so piece of software (particularly an expensive one like MATLAB). I agree w/ spursfan - VBA hangs aroun...
by JoeyD123
October 15th, 2009, 10:48 am
Forum: Programming and Software Forum
Topic: Speed up VBA
Replies: 4
Views: 34195

Speed up VBA

<t>Depending on your simulation, you can sometimes get a significant speedup by going to manual calc (e.g. if you are updating lots of data points in each run)... You can switch off auto calculation byDim calcType as LongcalcType = Application.CalculationIf (calcType = xlCalculationAutomatic) Then A...
by JoeyD123
September 2nd, 2009, 3:08 pm
Forum: Technical Forum
Topic: Pricing of cabllable corporate bond
Replies: 6
Views: 35421

Pricing of cabllable corporate bond

what do most people assume for credit spread/interest rate correlation at this point?
by JoeyD123
July 24th, 2009, 7:02 pm
Forum: Technical Forum
Topic: Extracting single name CDS spread
Replies: 9
Views: 39772

Extracting single name CDS spread

<t>QuoteOriginally posted by: BlueCellThanks for your reply. Don't I have to include in the calculation the fact that the spread is being paid 4 times in a year?You clearly have an academic problem as you have constant interest rates & a constant hazard rate. The quarterly pay vs. some other con...
by JoeyD123
July 23rd, 2009, 5:08 pm
Forum: Technical Forum
Topic: Extracting single name CDS spread
Replies: 9
Views: 39772

Extracting single name CDS spread

Either lay out or the cash flows and solve for the spread or... HazardRate = Spread/(1-RecoveryRate)
by JoeyD123
June 16th, 2009, 4:34 pm
Forum: Technical Forum
Topic: CDO Random Recovery - Calibration Recovery Distribution
Replies: 4
Views: 38126

CDO Random Recovery - Calibration Recovery Distribution

<t>For purposes of calibrating, you could always take a certain percentage (say 20-30%) of the 30-100% expected loss and assign it to 60-100%, and keep the remainder for 30-60%. To then convert that to running, just keep in mind that 60-100 will have a shorter duration than 30-100 because of the rec...
by JoeyD123
June 2nd, 2009, 3:46 pm
Forum: Trading Forum
Topic: CDX Tranche Spreads
Replies: 2
Views: 44167

CDX Tranche Spreads

<t>CDX NA IG9 tranches now trade 500bp running for 0-3%, 3-7, 7-10, and 100bp running for 10-15, 15-30, and 30-100%. That's why the 10-15 trades at a higher upfront than 7-10. 30-100 trades at a negative upfront for IG9 - your pricing run looks like it was converted to a full running for that one.CD...
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