MQP 2007-Credit Default Swap and Asset Swap Pricing

Two swap pricing models were developed at Bank of America’s London office. The credit default swap model takes market offer and bid prices of individual swaps to calculate the intrinsic value of a CDS index, facilitating skew trades and completing client valuation requests. The asset swap model constructs a LIBOR curve, provides detailed cash flow analysis and spread valuation, and measures interest risk. Both models produce accurate valuations and contribute to daily trading operations at Bank of America.