s*******h
发帖数: 916 | 1 P5 = PV01(5y)* R(5y), where P5 is upfront for 5yr cds,PV01(5y) is present
value of 1bp cash stream for 5yrs,R(5y) is running spread for 5yr cds
P3 = PV01(3y)* R(3y), where P3 is upfront for 5yr cds,PV01(3y) is present
value of 1bp cash stream for 3yrs, R(3y) is running spread for 3yr cds
P5-P3 = (PV01(5y)-PV01(3y))* R(3y/5y), where R(3y/5y) is running spread for
3y/5y forward cds, P5-P3 is actually the upfront for 3y/5y forward cds, PV01
(5y)-PV01(3y) is present value of 1bp cash stream for year... 阅读全帖 |
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D********n
发帖数: 978 | 2 假设flat CDS curve, flat discount curve，最简化day count，我们可以用q来代表q
uarterly survival probability, 用d代表quarterly discount probability.
换句话说，如果survive第一个quarter的概率是q那么survive第一年的概率就是q^4. 推
导一下可知:
CDS par spread = (1-R)*(1/(q*sqrt(d))-1/sqrt(d))
R是recovery rate.
用两年的libor推出d = 0.99777。其实d并不重要。你可以令d = 1, 对结果影响不到一
个bps.
用上面的公式，结合题目给的quote, 可以算出
q_A = 0.9756
PV01_A = $35507
q_B = 0.9524
PV01_B = $32019
用这些结果你很容易算出Default Leg values.
Portfolio CDS的PV01和default leg value就是single name的PV01的notional weight
ed ... 阅读全帖 |
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e*******l
发帖数: 55 | 3 请教大虾:(要是有reference 就更好了, I can't find them in John Hull and other
books that I have)
For a CDS :
1. What's the definition of pv01? Is it the change of CDS pv given 1 bp
change in CDS par spread, or 1 bp change in CDS coupon?
2. What's the definition of duration?
For a CDO tranche:
1. What's the definition of pv01? Is it the change of tranche pv given 1 bp
change in tranche par spread, or tranche coupon, or index par spread?
2. What's the definition of tranche duration? |
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c******s
发帖数: 58 | 4 PV01 is always on spread, not coupon.
other
bp |
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e*******l
发帖数: 55 | 5 Thanks. So for tranche PV01, it's with respect to the tranche par spread or
the underlying pool index par spread? |
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P********6
发帖数: 709 | 6 谢谢,什么是position mark, 是PV01吗? |
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S*******r
发帖数: 11017 | 7 啥是PV01？只听说过DV01...
position mark = mark to market position |
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