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)》之銘言： : 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 ()》之銘言： : : 想請教一個問題 : : 對於 iTraxx Europe 的市場報價 : : 在equity tranche的分券計算上 : : 他網站上的顯示是 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 : : 名目本金假設是100元 市場報價是 24% : : 則 期初支付 24%*100*0.03 : : 之後每年付息 500bp*100*剩餘部分(0.03-已損失百分比) : : 有前輩可以解釋一下要怎麼計算嗎? : : 能舉個例子的話就更好了 : : 感謝 -- ／◥██◣ ／◥██◣ ꤊ╲／／◥◣／██◣ ／◥◣ ／◥◣ ◢██◣ ／◥◣ ◥◣◥◣／◥◣ ╲／◥◣ ／◥◣／／ ／◥◣ ◥◣◥◣／◥◣ ◢█◣ ◢█◣ ╲◢█◣╲／◥██◣ ／◥◣◥◣／◥◣◥◣／◥◣◥◣／◥◣◥◣／◥◣◥◣╲／／／◥◣ ／◥█◤╲／◥█◤╲／◥█◤╲／◥█◤╲／◥█◤／◥███◤ --

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