QuoteOriginally posted by: bearishI'll continue in Alan's footsteps. When you say "priced using bloomberg", that is not unlike saying priced using a calculator, pencil and paper, or the like. Do you mean you looked up an actual quote on Bloomberg, or a BVAL estimate, or valued a private security with some spread to a particular curve, or some other method that is supported? Also, do you mean 5 or 50 bps? And do you plan to "true up" your estimate now and then?I answered your questions below. I'd also add to the discussion that someone encountered a similar issue as mine and advises using a data panel - is it like a matrix with spreads?I looked up the close in the historical price function in BBG as true price. Whenever a new price comes up, we would adjust our estimate to match bloomberg (and therefore true it up). In my current model, the estimateg price is calculated from the last close price recorded in BBG, after that, I calculate the yield change from that period for its benchmark.Whenever it is not traded or we get a single price source, we would like to be able to validate the price broadly and be able to question our pricing vendor in the event where it is completely out of line.I mean 50 bps as this is the furthest I can go before potentially causing a material impact in our positions.
Last edited by cdery6
on April 14th, 2015, 10:00 pm, edited 1 time in total.