- Joined
- 1/20/14
- Messages
- 1
- Points
- 11
Hi guys,
Thank you for your time:
From pag. 27, Table 6: http://www.opengamma.com/sites/defa...management-credit-default-swaps-opengamma.pdf
Why do sensitivities of CDS are slightly negative before the maturity of the CDS? I do not get the intuition: if I am long a 5y CDS and the spreads <5y increase and the 5y spread remains constant I am loosing money because of the negative signs of the sensitivity. How is it possible?
Thank you for your time:
From pag. 27, Table 6: http://www.opengamma.com/sites/defa...management-credit-default-swaps-opengamma.pdf
Why do sensitivities of CDS are slightly negative before the maturity of the CDS? I do not get the intuition: if I am long a 5y CDS and the spreads <5y increase and the 5y spread remains constant I am loosing money because of the negative signs of the sensitivity. How is it possible?