<t>CPPI options are very simple to price.At any time the cushion can be written as : C(t)=d*S^mSo an auropean call on cushion is a power option with payoff at maturity : max(d*S^m-K;0)If S0'=d*S0^(m)*exp(0.5*sigma*sigma*m*(m-1)*T) then the call on cushion is simply [exp(r*(m-1)*T)] *CBS(S0',K,m*sigm...

Hi,here are some C codes to compute variance-covariance matrix and correlation using student and normal copula.It comes from an OCR of a pdf file so be careful with caracters.regards.FABIUS

<t>Hi the Red Sniper,I have a little answer for your tracking error problem.Let R be the difference between your portfolio return and the benchmark return R=Rp-Rblet X = [R-Avg(R)]² with Avg(R) is the mean of RSo the Tracking Error becomes TE = sqrt(Avg(X))In a world of normally ditributed returns, ...