tag:blogger.com,1999:blog-4863014635257598503.post52425230531195567..comments2024-02-27T22:18:53.706-05:00Comments on Zero Hedge: ISDA Open Sources CDS Model, Issues Challenge To White Hats EverywhereTyler Durdenhttp://www.blogger.com/profile/00165439451205639523noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-4863014635257598503.post-91361295588673015792009-02-27T21:54:00.000-05:002009-02-27T21:54:00.000-05:00Also, CDS are derivatives. I think every L has to...Also, CDS are derivatives. I think every L has to have a P somewhere. Not that it would be pretty for the L side...Anonymoushttps://www.blogger.com/profile/05819776376553445235noreply@blogger.comtag:blogger.com,1999:blog-4863014635257598503.post-47317739666280062752009-02-27T14:16:00.000-05:002009-02-27T14:16:00.000-05:00I looked at the code here - there are only 51 file...I looked at the code here - there are only 51 files of source code, totaling less than 1 MB of code. Having worked with a lot of legacy code, I think the likelihood that all of the code hasn't been extensively checked is low given the small code base.<BR/><BR/>One of the files is called ""badday.c" and has a function, JpmcdsBad2GoodBadDayList, that "converts a bad day to a good one (if it's in list)." We could all use that!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-4863014635257598503.post-7970616682367545332009-02-27T13:47:00.000-05:002009-02-27T13:47:00.000-05:00Net pnl on that $25 trillion is roughly what? Ass...Net pnl on that $25 trillion is roughly what? <BR/><BR/>Assume a negative surprise of 5-10% on the net, not on the notional, methinks. Still bad, granted, for those on the sorry end.Gentlemutthttps://www.blogger.com/profile/14195075849681957505noreply@blogger.com