New answers tagged valuation
1
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How would the following be priced?
If you considered:
2 counterparties and 1 round, payout 95%
In this case, each counterparty has one token and could either buy the token from the other, or sell their token, or do nothing.
All the ...
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Accepted
Bond value as a function of spread change and duration/maturity
You should be able to re-use the rate duration as a measure of spread sensitivity as well:
Let's assume a simple vanilla fixed-coupon-bearing bond w/o embedded optionalities that pays at coupon rate $...
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