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..

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

<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...

<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...

what do most people assume for credit spread/interest rate correlation at this point?

<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...

Either lay out or the cash flows and solve for the spread or... HazardRate = Spread/(1-RecoveryRate)

<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...

<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...