Hi Valerie:
Your Question: Assuming we trade a 1000 coupon CDS with
upfront = 5%, are the values below correct?
-
<fixedRate> 0.1
-
<initialPoint> 0.05
-
<marketFixedRate> 0.15
Answer: The values for fixed rate and initial points are correct. The
value for market fixed rate can be calculated using the ISDA calculator. It’s
not simply the sum of the two in this case because the market fixed rate like
fixed rate is expressed per annum and while the initial points are an upfront
percentage. I did not make this point clearly on the call.
Thanks,
Ben Lis
Head of Product Management &
Integration
T-Zero
212.323.6041
www.tzero.com
From: cdwg@xxxxxxxx [mailto:cdwg@xxxxxxxx]
On Behalf Of Valerie Delaby
Sent: Wednesday, June 10, 2009
8:21 AM
To: cdwg@xxxxxxxx
Cc: Vicky Crowley
Subject: FpML-CD SNAC/SEC:
<initialPoint> and <marketFixedRate>
Hello,
Could we please have your advice on a Standard CDS
with quotationStyle <PointsUpFront>
Our current process sends both initialPoint and marketFixedRate
but we are getting confused on the value that should show in these fields
Assuming we trade a 1000 coupon CDS with upfront =
5%, are the values below correct?
-
<fixedRate> 0.1
-
<initialPoint> 0.05
-
<marketFixedRate>
0.15
Also, would it be possible to get a FpML sample for
the example above?
Thanks in advance for your help
Best Regards
Valerie Delaby
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