zebra: ...the CDS from say 4.5yrs to 5.0 yrs you'd automatically get a pickup...
...the CDS from say 4.5yrs to 5.0 yrs you'd automatically get a pickup of 5bp. This turned out wrong once cds traders front-ended the market at rollover time. I modelled this and it was obvious that it...
View Articlesean: @zebra was this also the one that had the trick that, if the pickup...
@zebra was this also the one that had the trick that, if the pickup wasn't there, the notional would just get bigger?
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