Short-term CDS Pricing..
Posted: August 22nd, 2008, 2:05 pm
I'm wondering if anybody has experience in pricing short-term(under 1 yr, usually 3~6months..) maturity single-name CD deals..I have a very stable model, pricing close to bloomberg, using both the jp morgan pricer, as well as the bloomberg version..But find deviations in the under one year tenor deals, and find it hard to explain..I'm wondering if a market convention of an underlying's "replicated", or "implied" spread is being used to alter the usual value, here.