New answers tagged derivatives
Using BBPlus, and help desk, I found out this is possible. From terminal XLTP XLOP. Download the XLOP spreadsheet. From "Single Options" tab you can see a great example of how to use BBOPT() function to pull a list of feed codes.
Well, you should use the spread as the default probability. For example, A CDS spread of 593 bp for five-year Brazilian debt means that default insurance for a notion al amount of USD 1 m costs USD 59,300 p.a. Consider a 1-year CDS contract and assume that the total premium is paid up front. Let S: CDS spread (premium), p: default probability, R: recovery ...
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