iTraxx Equity tranche - 金融分析師

Based on "Options, Futures, and other Derivatives 7ed" by John Hull, page 541,

"Similarly the market quote of 11.25% for iTraxx Europe means that the
protection seller receives an initial payment of 11.25% of the tranche
principal plus 500 basis points per year on the remaining tranche principal."

Therefore, should it be

ptotection buyer: pay upfront $24 first and 5% of remaining per year

Or it just a typo in the book?


※ 引述《croydon (angy)》之銘言：
: protection buyer : pay 5%
: protection Seller : should pay Upfront $24 first
: receive 5%
: Remind: you should remind the MTM mechanism
: if the upfront gross up to 50%
: protection Seller should Top UP the collateral
: this is the reason why AIG~~~
: ※ 引述《tacoking ()》之銘言：
: : 想請教一個問題
: : 對於 iTraxx Europe 的市場報價
: : 在equity tranche的分券計算上
: : 他網站上的顯示是 http://tinyurl.com/qt297n
: : "Levels for 0-3 tranches are upfronts with a fixed 500bps spread and
: : are quoted in terms of percentage of notional"
: : 就我的理解是
: : 名目本金假設是100元 市場報價是 24%
: : 則 期初支付 24%*100*0.03
: : 之後每年付息 500bp*100*剩餘部分(0.03-已損失百分比)
: : 有前輩可以解釋一下要怎麼計算嗎?
: : 能舉個例子的話就更好了
: : 感謝

--
／◥██◣ ／◥██◣ ꤊ╲／／◥◣／██◣ ／◥◣ ／◥◣ ◢██◣
／◥◣ ◥◣◥◣／◥◣ ╲／◥◣ ／◥◣／／
／◥◣ ◥◣◥◣／◥◣ ◢█◣ ◢█◣ ╲◢█◣╲／◥██◣
／◥◣◥◣／◥◣◥◣／◥◣◥◣／◥◣◥◣／◥◣◥◣╲／／／◥◣
／◥█◤╲／◥█◤╲／◥█◤╲／◥█◤╲／◥█◤／◥███◤

--