0
$\begingroup$

I am sales and would like to grasp rough levels of quanto CDS, such as BMW denominated in USD, without askin traders each time. What i'm thinking is to calculte it using Python.

But i cannot build up complex codes. Does there exist quanto CDS pricer/library in Python?

Improve this question
$\endgroup$
10
  • $\begingroup$ Probably worth using an off-the-shelf solution rather than programming this yourself. Do you have access to e.g. a terminal? $\endgroup$
    – oronimbus
    Oct 2 at 7:30
  • $\begingroup$ It is unlikely that the default of BMW will have much to do with the USD/EUR exchange rate. A quanto effect in CDS arises usually when a sovereign defaults on its foreign debt. $\endgroup$
    – Kurt G.
    Oct 2 at 7:55
  • $\begingroup$ Thanks for comments. Have Bloomberg but DLIB seems to be not working for quanto CDS and technical support is short staffed there. $\endgroup$
    – neko
    Oct 2 at 10:52
  • $\begingroup$ Wrt sovreign cds, I understand your logic. But anyway i'd like to how traders price BMW in usd or Barclays in JPY. Ignoring correl with fx, if Barclays 5y cds is 100 bp in eur, iand that eurjpy 5y basis -30, then Barclays cds in jpy is 70bp in theory? $\endgroup$
    – neko
    Oct 2 at 11:17
  • $\begingroup$ I think so. Any reasonable trader at your institution should be happy to discuss this before sending you off to a programming task. $\endgroup$
    – Kurt G.
    Oct 2 at 12:45

0

Reset to default

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Browse other questions tagged or ask your own question.