Does anybody know actuarial science sites that have C/C++/FORTRAN/Matlab code? No SAS as I'm totally unfamiliar with it.

This paper may be of your interest.Composite BasketCheers,Jet

Karwitz, do you mean how to compute the default leg of non-homogeneous basket (something termed Z^-1)?

<t>Suppose the market tranche premiums are:0-3 16003-7 3007-10 14010-15 6015-30 15and implied tranche spreads from a full correlation model (using asset corr) are0-3 14503-7 4407-10 27010-15 13015-30 30showing fatter tail loss distiribution. If we calibrate a uniorm corr model to these 2 sets of pre...

<t>I might be wrong but my understanding is:>Rj: (this works because when spreads are zero, 0-3 + 3-7 = 0-7)This is option payout leg matching without considering the premium leg.>schloar: My observation is that this equation is consistent with the above recursive relation only if both first loss sy...

How many gaussian quadrature points are you using for numerical integration?

QuoteAlso, I looked into the CDSW funciton on BBG and the small paper by Iddo Yekutieli that elaborates on the method BBG uses, explains the Hull-White methodology.Tosh, can you post the link?rgds,Jet

I heard that the detailed technical paper and a sample spreadsheet on base correlation by JPM will be published soon (hopefully today or early next week).

Find a report called "Drill-Down Approach for Synthetic CDO Squared Transactions" from S&P website.It describes how to generate loss scenarios for CDO^2 by Monte Carlo. Mainly talks about real loss simulations butpricing should be straight forward as well.Jet

<t>I am reviewing the CDSW function recently.The JPM paper states how to bootstrap the default curve points given a set of market cds rates. It uses the mid-point (between payment dates) default assumption to calculate accruals on premium leg while assuming defaults on payment dates on the default l...

Thank you !Jet

on vacation, Jens?

I am aware of Toyin Akin's port but the source code is not publicitly available as far as I remember?Best,Jet

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I forgot to mention that Y and Z are independent. Thank you, mrbadguy.I will check out the MATLAB code as well.Cheers,Jet