Tags » Bootstrapping

ISDA CDS - ISDA model - maths

Some of the general ideas for CDS valuation have been discussed in a previous post. I’ve also discussed some of the nitty-gritty around dates in my… 479 more words

CDS

ISDA CDS - Dates

In my years of experience with financial modelling I have generally found dates to be the fiddliest of components. The neat mathematical expressions of quantitative papers often belie the devil that is in the detail of our Calendar system. 1,113 more words

CDS

ISDA CDS – interest rate curve 3 – Excel implementation

Before delving into pure VBA I think it’s helpful to set out a problem in Excel, if only for a specific example. It can really help get a broader idea of how the model fits together. 1,699 more words

CDS

ISDA CDS – interest rate curve 2 - the maths

Let’s review the maths behind the yield curve. We have a yield curve with nodes at times which is made from a set of deposits with maturities  and a set of  interest rate swaps with maturities  such that  and . 630 more words

CDS

ISDA CDS - interest rate curve 1

Before we explore the world of credit we first need to build our interest rate curve. The discount curve bootstrapped from a selection of Deposits and Swaps Each day’s curve can be downloaded as a zipped XML file from the markit website at the following address https://www.markit.com/news/InterestRates_CCY_yyyymmdd.zip, replacing CCY with the relevant currency code and yyyymmdd with the date in question. 248 more words

CDS

Bootstrapping - A Powerful Resampling Method in Statistics

We are often interested in population parameters. For example, the mean salary of all adults in a country. But collecting data of the entire population is almost always infeasible. 424 more words

Bootstrapping

How to raise funds for your startup?

This is one of the first questions that entrepreneurs have in their minds when starting their venture! They start building these huge assumptions that they will be sitting in cushy bean bags in AC offices with a super fast internet connection and a million dollars in the bank. 1,478 more words

Let's Talk Business