iTraxx Europe S7 5yr

qhedge · May 17th, 2007, 12:01 pm

Could anybody provide a current quote of base correlations for the five standard tranches of the iTraxx Europe S7 5yr.I'd like to check against our software without relying on bloomberg.TnxDan

bigbird · May 18th, 2007, 8:53 pm

You could callibrate against the monthly fixingMonthly iTraxx FixingsThese fixings are designed to provide a robust consensus price