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Mattew46
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Joined: July 8th, 2016, 2:37 pm

iTraxx Intrinsic Value vs Single Names

May 28th, 2016, 3:26 pm

Hi Guys! I wanna compute the intrinsic value of the iTraxx Crossover. I have the time series of the spread of the iTraxx Crossover and the time series of the spread of the single names. How could I compute the upfront payments for each single names? I know I should have the time series of the risky annuity or the time series of the hazard rate curve, but unfortunately they are not available on bloomberg; in bloomberg there is the actual risky annuity but not the historical one. How can I do? The followings are the data I have:- Time Series iTraxx Crossover- Time Series Single names of the index- Implied default probability of the single names (not the default probability for each year, but just the default probability for the entire maturity of the CDS single names)- Time Series of Libor and Swap rate.Thanks in advance.M.C