e*******l
发帖数: 55 | 1 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? | c******s
发帖数: 58 | 2 PV01 is always on spread, not coupon.
other
bp
【在 e*******l 的大作中提到】
: 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?
| e*******l
发帖数: 55 | 3 Thanks. So for tranche PV01, it's with respect to the tranche par spread or
the underlying pool index par spread?
【在 c******s 的大作中提到】
: PV01 is always on spread, not coupon.
:
: other
: bp
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