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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى ISDA standard model؟

Definition 13.10 Rates, Credit, XVA and Risk · الفصل 13 — Reduced-Form Credit

The ISDA standard model is the open-source reduced-form pricer, with agreed conventions (a flat hazard implied from a quoted spread, a standard recovery, the day’s standard discount curve, accrual and payment rules), that the market uses to convert between a contract’s quoted spread and the upfront payment at its standard coupon.

Upfront paid by the protection buyer of a five-year standard contract, from the quoted spread, at the two North American standard coupons. The upfront is zero where the quote equals the coupon and negative (received) below it. Data: the standard flat-hazard conversion; the chapter’s tutorial.
Figure 13.4. Upfront paid by the protection buyer of a five-year standard contract, from the quoted spread, at the two North American standard coupons. The upfront is zero where the quote equals the coupon and negative (received) below it. Data: the standard flat-hazard conversion; the chapter’s tutorial.

أمثلة

Example 13.11 (Upfront at a standard coupon)

The five-year contract quoted at 120 basis points with a 100-basis-point coupon costs the protection buyer an upfront of 0.872% of notional (flat hazard from the quote, the five-year zero rate of 3.42% flat, recovery 40%). A name quoted at 500 has no upfront at the 500 coupon and one of 15.06% at the 100 coupon (Figure 13.4).

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