NuclearPhynance Archive

This all stems from the fact that forward points on gamma on the OTC make the variance implied larger than the collateral on the dividend both from the DTCC and from the ECB. Therefore the risky bond cannot be marked-to-market any lower than the foreign exchange volatility in present-value terms. Under ISDA, for example, the correlation with the vega is assumed to be one (1.00) whereas the integral over the hazard rate is assumed to be infinite, with a non-stochastic discount factor for any compound derivative. Collateral is simply an illusion. Mark-to-market is not what it's about. The market is the mark.



Makes sense, no?

FDAXHunter your respond holds more complex basis than my question. Assume that everything is known , ie we observe two time series B ( tk , T ) and R ( tk , T ), k = 0,1, ...n , tn = T. In theory we assume that future values of the bonds are random variables though at this moment its distribution we do not specify. My question was to outline mark-to-market account given that default occurs only at tk dates. Of course it might be impossible but it looks algebra problem if we have clear idea what does it mean mark-to-market in finance. MtM account helps to present cash flow corresponding to risky bond in MtM format.

Turing test result: negative.

Reminds me of Random Paper Generator

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