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Re: [Quantlib-dev] CDS upfront
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From: a a. <a_a...@ya...> - 2008-06-04 09:29:01
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Hi , The curve is always using the real spread (upfront+running), so, any bootstrapping should not deal with the upfront trades/quotes. Remember a financial institution may have a mixture of trades (upfront and not upfront ) for a single name(i.e. the non upfront trades booked year ago and the upfront trades the last few months), they have to MTM all those trades using the same curve. T. --- On Wed, 4/6/08, Simon Ibbotson <s.i...@gm...> wrote: From: Simon Ibbotson <s.i...@gm...> Subject: Re: [Quantlib-dev] CDS upfront To: "Luca Billi" <luc...@gm...> Cc: qua...@li... Date: Wednesday, 4 June, 2008, 8:15 AM Just a quick note on this (if anyone is thinking of implementing something) - it is also quite common for a contract to be both... i.e. have an upfront payment plus a running spread. So, incorporating a simple payment at the front of a CDS could be the simplest way of allowing upfront prices. Simon On 6/3/08, Luca Billi <luc...@gm...> wrote: Since sometimes CDS quotes are based on upfront (price) rather then premium, it would be nice to have the possibility to use directly that upfront when bootstrapping credit curves and when pricing CDS contracts. I was wondering if anyone has thought about adding this feature or is willing to share any ideas. Thanks, Luca ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ _______________________________________________ QuantLib-dev mailing list Qua...@li... https://lists.sourceforge.net/lists/listinfo/quantlib-dev ------------------------------------------------------------------------- Check out the new SourceForge.net Marketplace. It's the best place to buy or sell services for just about anything Open Source. http://sourceforge.net/services/buy/index.php_______________________________________________ QuantLib-dev mailing list Qua...@li... https://lists.sourceforge.net/lists/listinfo/quantlib-dev __________________________________________________________ Sent from Yahoo! Mail. A Smarter Email http://uk.docs.yahoo.com/nowyoucan.html |
