Beumee, Johan G. B.; Brigo, Damiano; Schiemert, Daniel; … - 2009
Following the recent introduction of new forms of Credit Default Swap (CDS) contracts expressed as upfront payments plus a fixed coupon, this note examines the methodology suggested by Barclays Capital, Goldman Sachs, JPMorgan, Markit (BGJM)/ISDA (2009), for conversion of CDS quotes between...