While the bulk of this book explores the credit default swap basis and basis trading, this introductory chapter lays the foundation by reviewing credit default swap products, including the mechanics and terms of the products as well as pricing methods. The chapter is easy to read with well-explained examples ... click here for more details.
Appendix I describes the CDSW Screen on the Bloomberg Professional terminal. This screen is an implementation of the credit default swap (CDS) pricing method developed by Hull and White. Appendix II provides more technical detail on the market approach to CDS pricing and illustrates the method with an ... click here for more details.
The credit default swap (CDS) basis is an important measure of relative value in the credit markets. Before considering the basis itself, we must familiarize ourselves with some basic concepts of bond spreads. An understanding of these is important when we consider the CDS basis later. In this chapter, we ... click here for more details.
Bond forwards and futures, cash flow of forwards, doji, margining, relationship between prices of futures and forwards, forward-spot parity, basis, implied repo rate, backwardation, contango, gross basis, hedging, basis risk, cheapest to deliver