Timeline for How to convert the CDS Upfront Fee into the Traded Spread?
Current License: CC BY-SA 4.0
7 events
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| Jun 17, 2020 at 8:33 | history | edited | CommunityBot |
Commonmark migration
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| S Dec 21, 2018 at 9:36 | history | suggested | Dmytro S | CC BY-SA 4.0 |
Correcting the RPV01 formula by removing duplicate terms. Before: RPV01 = (1−exp(−gT))/g(1−exp(−gT))/g. After: RPV01 = (1−exp(−gT))/g
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| Dec 20, 2018 at 13:58 | review | Suggested edits | |||
| S Dec 21, 2018 at 9:36 | |||||
| Apr 13, 2017 at 12:46 | history | edited | CommunityBot |
replaced http://quant.stackexchange.com/ with https://quant.stackexchange.com/
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| Feb 11, 2017 at 6:33 | comment | added | Alexander | @ChrisN In your example maturity is in 5 years, so as a risk free rate you might use US treasury bond with 5y maturity. That's right, the equation i ls not directly solvable for S, so you might consider using a numerical method to find a solution for that equation | |
| Feb 11, 2017 at 4:35 | comment | added | Chris N | Thank you this information. The issue that I am finding with this equation is that I am trying to solve for S (CDS Spread) and when finding the value for RPV01 the CDS Spread is embedded in the calculation ( by solving for "g"). What is the Libor value here or how would I solve for Libor? | |
| Feb 10, 2017 at 4:21 | history | answered | Alexander | CC BY-SA 3.0 |