Credit Default Swap Index Trading: Bid/Offer, Rolls, Roll Conventions

Introduction I apologize in advance for the rather esoteric subject here, but I have in the past done some work with our CDS index trading desk.  The roll dates for the US indexes are once again approaching.  Immediately after the roll date we trade both the old index, the new index, and the roll between … Continue reading Credit Default Swap Index Trading: Bid/Offer, Rolls, Roll Conventions

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