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Results tagged with credit-derivatives
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user 6621
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CDS Option Pricing (Missing Index Factor)
I've read the OpenGamma paper https://quant.opengamma.io/CDS-Options-OpenGamma.pdf on CDS Options, and noticed a small discrepancy. So I wanted to double-check my understanding.
In Section 6.4 the opt …
- 1,052
4
votes
1
answer
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CDS Quote Conversion - Quoted vs Par
Just to be on the same page, let me start with some nomenclature:
Par Spread = Coupon for which the CDS has NPV=0, assuming a piece-wise constant hazard curve (considered in conjunction with all o …
- 1,052