Serving the Quantitative Finance Community
Base Corr CDX Indices
CDX.NA.IG S4Tranche Strikes Base Corr. Tranche Corr.0%-3% 121% 17.661% 17.661%3%-7% 282% 30.768% 2.921%7%-10% 403% 38.681% 12.946%10%-15% 605% 51.028% 19.365%15%-30% 1210% 72.881% 31.523%- tried to do this as of today - do figures look more or less ok?- also my numerics break down for CDX.NA.HY S4, does anyone have recent benchmarks?many tkssoren