<t>Hi GovertThanks for your help, it was very helpful. We really like your ExcelDNA and found it useful, the only change we made to it was to make XlObjectMarshaler class public and set project output type as class library. Perhaps it would make sense to have the core functionality in a separate cla...

<t>Hi guys,Has anyone written an xlw interface in C#? I have a compiled xll that need to be integrated in my C#.NET code. I can load thexll dead easy in C# with [DllImport(@"...name of xll")] but if the xlfoper struct in in C++ I am having a nightmare importing.So has anyone done the xlw wrapper in ...

<t>Having a fully implemented pricer for european and bermudan options on cds underlyings, the question is thenhow to calibrate the mean reversion rate and volatility (both for the cases of the hazard rate beingmodelled by a Hull White process d\lambda_t=(k(t)-a \lambda_t) dt + \sigma d W and a Blac...

<t>Thanks Philipp,I have now a working model, but I am still confused with the calibration. Ithink that, in analogy with the calibration for interest rates, I need to calibratek(t)~a \phi + \partial phi / \partial twhere phi=-\partial Ps(t,T)/\partial t and Ps(t,T) is the probability of survival fro...

<t>Philipp,Thanks for your quick reply.After reading your message, I now have a working version of a Bermudan option on an underlying CDSworking via Monte Carlo simulation using the Longstaff-Schwarz method for handling the exercise part.I am also working at the same time on the PDE version of the c...

<t>HiI have been trying to implement a Bermudan option on an underlying CDS. I have read Schonbucher'spaper "A Tree Implementation of a Credit Spread Model for Credit Derivatives". However, I mustcode the problem on a symbolic manipulation package for finance similar to Mathematica. Therefore,I had ...