Price moneyness vs spread moneyness for credit index options (CDX HY)

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Asked 4 years, 4 months ago

Modified 4 years, 4 months ago

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Is spread moneyness equivalent to price moneyness for volatility surfaces of CDX HY? In other words, is the ISDA converter a linear transformation?

I have market data that I need to convert to input in Black Swap Yield.

Thanks!

asked Jul 29, 2019 at 13:23

Simon Therien

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