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Does anyone know what the quoting convention is for Emerging Markets CDS spreads? They go off of a monthly roll(IMM dates) and it's either quarterly or semi-annually. MarkIt is semi-annual but what about "the market"

Say you're selling protection on CDX IG9, 30-100 tranche. When the index rolls every quarter(names go in and out) you're no longer left with the original names. What about the tranche? It seems like found money selling protection on IG. Any thoughts?

Does anyone use BondHub? How can I view Lehman's CDS spreads for indexes/single-names in BondHub/Securities hub?

Hi, Does anyone deal with credit curves extensively? I'm trying to get around the problem of having a spike in the credit curve Lets assume the below is the curve I'm dealing with, though the problem occurs most often in 6M 1Y. 6M 100 1Y 120 2Y 125 3Y 110 4Y 130 5Y 135 7Y 150 10Y 160 15Y...

Does anyone have the following paper? Berrahoui, M 2004 Pricing CMS spread options and digital CMS spread options with a smile. Wilmott magazine May 2004 63-69 If you do can you email to me? miketkach@gmail.com

Does anyone know of a quick and dirty way to do PnL for a CDS position? (I know if you use spread DV01 in dollar terms it will work for small changes in spread). What about for larger 100bp+ changes?

=D> =D> =D> =D> Congratulations Alain and Wendy on the birth of your baby boy!!!! Best wishes and good luck!!!:tiphat::tiphat::tiphat::tiphat::tiphat:

Hi, Does anyone have any good papers/knowledge of forward volatility agreements? Thanks in advance, Mike

Baruch's website (not quantnet, the general www.baruch.cuny.edu) used to be a resource for finding what the academic schedule is. Since some "bright" individual at Baruch decided to upgrade it, I cannot find ESIMS, my webmail(hardly checked but still) or the academic calendar. Since we do not...

I was visiting my old colleagues last week and decided to check the bloomberg to see how the bond markets looked. Much to my surprise, the yield curve had "un-inverted" i.e. the 10yr yield is now higher than the 3 month. I've been trying to think about this and my thinking is as follows...

Hi, I was thinking it may be a good idea to have a group of people not familiar with VBA to learn it during the break. I am not familiar with it so I do not know whether this can be learned in 1 month (I realize some learning would take place) etc. Does anyone have book recommendations etc...

Hi, I may have to learn UNIX as part of my work. Can anyone with experience let me know what UNIX I should install etc.? Regards, Mike

This may seem like an obvious question for those taking c++ but what values/algorithms are you using for pi?

Hi, I'm trying to get various viewpoints on this topic. The issue that I have is that I want my calculations to be as precise as possible. I know this comes at the cost of speed etc. I'd like to get different opinions on this so please post what you think the best method would be. i know...

Just finished reading the book last week, will start re-reading again. I think this is a great book. To me the book emphasizes that one must think and this is something that is not practiced enough, for sure. <iframe...

http://www.breitbart.com/news/2006/09/14/060914140645.wl9uakm4.html

I'm thinking of getting an IBM ThinkPad X60S Notebook. The DVD/CD does not come standard but rather through the IBM UltraBase dock(according to the IBM website). I'm thinking this is great because I will not need the DVD/CD that often and the notebook will be much lighter as a result of not...

I like Den of Thieves by James B. Stewart (this was the first book I read and really got me into this game) Predator's Ball (Junk Bonds, Mike Milken, great read) Barbarians at the Gate (RJR Nabisco leveraged buyout)