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CREDIT DERIVATIVES

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Credit Default Swap Construction 

The survival / yieldcurve can be constructed from FRA’s, IMM, LIBOR rates, IR Swaps and Credit Default Swaps. The customer and reference obligor have been incorporated.

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Credit Fixed Bond

The survival / yieldcurve can be constructed from FRA’s, IMM, LIBOR rates, IR Swaps and Credit Default Swaps. The instrument is a survived Fixed Bond.

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Credit Floating Bond

The survival / yieldcurve can be constructed from FRA’s, IMM, LIBOR rates, IR Swaps and Credit Default Swaps. The instrument is a survived Floating Bond.

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Credit Amort Fixed Bond

The survival / yieldcurve can be constructed from FRA’s, IMM, LIBOR rates, IR Swaps and Credit Default Swaps. The instrument is a survived amortizing Fixed Bond.

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Credit Amort Floating Bond

The survival / yieldcurve can be constructed from FRA’s, IMM, LIBOR rates, IR Swaps and Credit Default Swaps. The instrument is a survived amortizing Floating Bond.

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Credit Linked Fixed Bond

The survival / yieldcurve can be constructed from FRA’s, IMM, LIBOR rates, IR Swaps and Credit Default Swaps. The instrument is a survived Fixed Bond. The customer and reference obligor have been incorporated

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Credit Linked Floating Bond

The survival / yieldcurve can be constructed from FRA’s, IMM, LIBOR rates, IR Swaps and Credit Default Swaps. The instrument is a survived Floating Bond. The customer and reference obligor have been incorporated.

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Notice the large number of regular derivatives:

  1. Pricing per bid / ask;

  2. Deltas per bid / ask (first derivative of IR Swap price or Survival rate – not shown);

  3. Gammas per bid / ask (second derivative of IR Swap price – not shown);

  4. Theta per bid / ask (time derivative for option);

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Also: -

  1. All columns and decimal places can be changed;

  2. The actually payment dates, interest rate and survival rates are calculated;

  3. For interest rates the data is in percentages whereas the survival curve is in basis points;

  4. The interest rate generation is created by FRA’s, IMM, Libor rates and IR Swap rates. All of these can be imported, saved, specified as per use and maturities.

  5. The survival rate generation is created from CDS data;

  6. Different interpolation methods are possible;

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The left hand properties allow: -

  1. Specific deal information;

  2. A document showing the analytical expressions;

  3. A test for the interest rate and survival generation;

  4. Saving this option in Excel or into the private database;

  5. Show all Credit Default Swaps;

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