c**********e
发帖数: 2007 | 1 For company X we have CDS spreads as follows: 3 years maturity all upfront,
3 years maturity all running, 5 years maturity all upfront, 5 years maturity
all running. What is the all running premium for the 3 to 5 year forward
CDS? | c**********e
发帖数: 2007 | 2 182 reads. nobody answers? | a***r
发帖数: 594 | 3 I ll take a stab.
a CDS can be bought in two ways. one is you pay a quaterly coupon at a
quoted rate. the other is you pay a cash payment upfront. both in exchange
for the protection payout when the reference entity defaulted.
so the upfront for a 3/5 forward CDS is simply 5y CDS upfront - 3y CDS
upfront. thats dictated by no-arb. depending on when the upfront is paid (
today or in 3 years when the protection starts) you may have to do some
discounting.
now he wants the running. we ll estimate the duration of a 3/5 forward by
the duration difference between the 3 and 5 running. The duration is just
upfront/running. you have both. so you have the 3 and 5 running duration. so
you have the 3/5 forward duration.
now the 3/5 running is just the 3/5 upfront div by the 3/5 duration.
,
maturity
【在 c**********e 的大作中提到】
: For company X we have CDS spreads as follows: 3 years maturity all upfront,
: 3 years maturity all running, 5 years maturity all upfront, 5 years maturity
: all running. What is the all running premium for the 3 to 5 year forward
: CDS?
| A*****s
发帖数: 13748 | 4 马克
【在 a***r 的大作中提到】
: I ll take a stab.
: a CDS can be bought in two ways. one is you pay a quaterly coupon at a
: quoted rate. the other is you pay a cash payment upfront. both in exchange
: for the protection payout when the reference entity defaulted.
: so the upfront for a 3/5 forward CDS is simply 5y CDS upfront - 3y CDS
: upfront. thats dictated by no-arb. depending on when the upfront is paid (
: today or in 3 years when the protection starts) you may have to do some
: discounting.
: now he wants the running. we ll estimate the duration of a 3/5 forward by
: the duration difference between the 3 and 5 running. The duration is just
| n****e
发帖数: 629 | | s*******h
发帖数: 916 | 6 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 year4 and year5
so R(3y/5y) = (P5-P3)/(PV01(5y)-PV01(3y))=(P5-P3)/(P5/R(5y)-P3/R(3y)) |
|
