RE: FpML-VALU How to represent Duration and spread DV01

[andrew.p.parry@xxxxxxxxxxxx]

Brian

Apologies, I still owe you my proposal, which does include buckets and 
request / reply support

Regards

Andrew Parry
+44 20 7325 1486
IBML Product Manager
http://ibml.jpmorgan.com





"Brian Lynn" <brian.lynn@xxxxxxxxxxxxxxxxxxx>
Sent by: prwg@xxxxxxxx
10/08/2006 21:40
Please respond to prwg
 
        To:     <prwg@xxxxxxxx>
        cc: 
        Subject:        RE: FpML-VALU How to represent Duration and spread 
DV01


Robert - 

I don't think that there's a published example of either.

Duration probably belongs as a new Asset MeasureType (maybe several, e.g.
modified duration, mcauley duration, etc.).

DV01 against a credit spread can be represented using the Asset Measure 
Type
of "BucketedCreditSpreadSensitivity" or
"ParallelShiftCreditSpreadSensitivity".  PR example #4 has a request for 
CDS
sensitivities, but not, apparently, the response.


Other comments welcome.  Has anyone produced an example of this?

- Brian



-----Original Message-----
From: prwg@xxxxxxxx [mailto:prwg@xxxxxxxx] On Behalf Of Robert Stowsky
Sent: Thursday, August 10, 2006 1:30 PM
To: FpML-VALU
Subject: FpML-VALU How to represent Duration and spread DV01

I am looking for either examples or guidance on representing Duration 
for an IRS and Spread DV01 for a CDS.

Thanks,

Robert

-- 
Robert Stowsky
President & CEO
Brook Path Partners, Inc.
60 State Street
Suite 700 
Boston, MA 02109
Tel: 617-988-2729  Ext. 00215
Fax: 781-431-7964 
Web: http://www.brookpath.com 

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