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hhb


Total Posts: 4
Joined: Sep 2015
 
Posted: 2017-07-14 21:02
Any hints/documents on how to value option on forward starting cds

hhb


Total Posts: 4
Joined: Sep 2015
 
Posted: 2017-07-15 21:00
Hi All,

Any suggestions regarding this. Urgently need this.

ronin


Total Posts: 199
Joined: May 2006
 
Posted: 2017-07-19 14:55
What does the option look like? Option matures in one year, CDS protection starts in two years, ends in five years?

You can't replicate that from CDS swaptions and outrights.

The closest you can come is say 1y5y swaption minus 1y2y swaption plus forward adjustment plus fudge factor.

"People say nothing's impossible, but I do nothing every day" --Winnie The Pooh
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