Bloomberg joins the options club
February 13—Bloomberg has launched an options calculator to price and value options on CDS indices iTraxx and CDX. The CDSO tool will be available on Bloomberg Professional terminals.
The new system includes payer or receiver positions for underlying forward CDS contracts, no knockout features and customisable strikes. Users may calculate with the fair option premium or the volatility implied in a given prices, with the volatility defaulting to the historical volatility of the index over three
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