作者woods (汪)
看板CFAiafeFSA
标题Re: [问题] iTraxx Equity tranche
时间Sun May 10 07:05:27 2009
Based on "Options, Futures, and other Derivatives 7ed" by John Hull, page 541,
"Similarly the market quote of 11.25% for iTraxx Europe means that the
protection seller receives an initial payment of 11.25% of the tranche
principal plus 500 basis points per year on the remaining tranche principal."
Therefore, should it be
ptotection buyer: pay upfront $24 first and 5% of remaining per year
Or it just a typo in the book?
※ 引述《croydon (angy)》之铭言：
: protection buyer : pay 5%
: protection Seller : should pay Upfront $24 first
: receive 5%
: Remind: you should remind the MTM mechanism
: if the upfront gross up to 50%
: protection Seller should Top UP the collateral
: this is the reason why AIG~~~
: ※ 引述《tacoking ()》之铭言：
: : 想请教一个问题
: : 对於 iTraxx Europe 的市场报价
: : 在equity tranche的分券计算上
: : 他网站上的显示是 http://tinyurl.com/qt297n
: : "Levels for 0-3 tranches are upfronts with a fixed 500bps spread and
: : are quoted in terms of percentage of notional"
: : 就我的理解是
: : 名目本金假设是100元 市场报价是 24%
: : 则 期初支付 24%*100*0.03
: : 之後每年付息 500bp*100*剩余部分(0.03-已损失百分比)
: : 有前辈可以解释一下要怎麽计算吗?
: : 能举个例子的话就更好了
: : 感谢
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※ 发信站: 批踢踢实业坊(ptt.cc)
◆ From: 140.112.30.55
1F：推 croydon:要看目前equity tranche 的市价与par之间的方向 05/11 20:34
2F：→ croydon:现在的市场应该都是 seller pay upfront 05/11 20:35
3F：→ croydon:书上只讲一边; 想想 现在去买GM的保险buyer 还要付Upfront 05/11 20:37
4F：→ croydon:是很怪的^^ 05/11 20:37