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Questions tagged [isda]

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Compounding arrear SOFR Forward rate/curve

As per ISDA protocol and supplements, they stated that the fallback rate to be used on legacy derivative contracts is the compounding in arrears SOFR rate (based on a 2-day backshift) + a fixed spread ...
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1answer
157 views

Calculating RPV01 for the up-front payment of a CDS contract

I'm trying to calculate the historical P&L of a CDS trading strategy, and am struggling to come up with the up-front payment of the contract. From what I can tell, the Mark-to-Market value of a ...
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1answer
367 views

'Optional Early Termination' clause

For market practitioners such as swap traders out there: in your experience, does the below clause when bilateral is similar to a difference between European and <...