<t>Hi Matthewgreat spreadsheet, and I have a couple of questions:1. Have you considered historical backtesting rather than monte carlo? I'm looking at CPPI on a portfolio (replicating a benchmark of MSCI indices) and the returns (daily, monthly and annually) are far from normal, so I use paths throu...

Hi erstwhile and StrikOutWas there any further discussion on this matter since this post a few months ago? I would be interested to know if there was any more development on the price. I agree with erstwhile, I think the price should be in the range 50-70 bps flat.

<t>One thing to consider is decomposing bonds into the cashflows attached to fixed zero coupons along the yield curve. You then work with these instruments rather than bonds and use the price volatility implied by the invidual yields of the zero coupons. The problems with this approach are numerous ...