Questions tagged [isda]
The isda tag has no usage guidance.
3
questions
2
votes
1answer
148 views
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 ...
0
votes
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 ...
0
votes
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 <...
