Re: [問題] iTraxx Equity tranche

看板CFAiafeFSA (精算師/基金經理人/銀行家)作者woods (汪)時間16年前 (2009/05/10 07:05)推噓1(1推 0噓 3→)

留言4則, 1人參與討論串3/3 (看更多)

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╲／／◥◣／██◣ ／◥◣ ／◥◣ ◢██◣ ／◥◣ ◥◣◥◣／◥◣ ╲／◥◣ ／◥◣／／／◥◣ ◥◣◥◣／◥◣ ◢█◣ ◢█◣ ╲◢█◣╲／◥██◣ ／◥◣◥◣／◥◣◥◣／◥◣◥◣／◥◣◥◣／◥◣◥◣╲／／／◥◣ ／◥█◤╲／◥█◤╲／◥█◤╲／◥█◤╲／◥█◤／◥███◤ -- ※ 發信站: 批踢踢實業坊(ptt.cc) ◆ From: 140.112.30.55