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标题: Risk Factor for Credit Spread [打印本页]

作者: Carson 时间: 2011-7-13 16:28 标题: Risk Factor for Credit Spread

Schweser has this formula for Future value of Credit Spread Options and Forwards

FV=(spread at maturity-spread strike)*notional*Risk Factor

What is the term Risk Factor in this formula ? I mean what does it signify?

作者: ll11 时间: 2011-7-13 16:28

Never mind , it is some sort of duration term i.e. value change in option/forward for 1 bps basis change

作者: pennyless 时间: 2011-7-13 16:28

I don't know and don't really care at this point. If I see it I'm using it in the formula.

NO EXCUSES

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