<t>What precisely is a Constant Maturity Default Swap? This question was posted before, but I didn't notice any replies. Is it a CDS where the fixed payments are replaced with payments that dependent on a a particular swap rate? If so, what sort of model is most appropriate? A Cox process, where the...

Bingo! There's nothing like a leap year to drive a coach and horsesthrough my day counting convention. Finally, I'm as happy as Larry.

<t>Yes, I do mean 2004. My values for d1 and d2 differ from yours, I maked1 = -0.07198d2 = -0.11591However, as d1-d2 = Vol * sqrt(t) then using your values of d1 and d2 implies Vol = 15.57%, whereas using my values for d1 and d2 implies Vol = 15.32%.So at least I'm consistent with my input vol data,...

<t>No not really. To get it to match I have to change the input vol to15.6% from 15.3%. I get this new vol number by using the quotedprice of both the Call and Put to solve for the implied forward and volinputs. The implied forward comes out to 3386 which is the numberquoted by the exchange.All I wa...

Thanks, your assistance on this has been appreciated.

Yes.

I'm surprised by your number of 56.3, using my own code and a couple ofother models for options on index futures I get 52.62. What model wereyou using?acl

<r>Hi, I have an embarrassing problem where I'm trying to match the market quotesfor Index Options on the FTSEuroFirst 100 Index.The data supplied by the exchange (see <URL url="http://www.liffe-style.com/DataEndOfDayOptions.aspx">http://www.liffe-style.com/DataEndOfDayOptions.aspx</URL>)For example...