You  need the volatility which is used by the model that calculates the benchmark prices for your calibration.
Your MATLAB function supports three models: Black, Shifted Black and Normal. I would recommend Normal, since Black is inappropriate due to negative interest rates.    

Have a look at quarchome.org

You may find this helpfulwww.math.utah.edu/ugrad/finance/interviewprep1.pdfwww.math.utah.edu/ugrad/finance/interviewprep2.pdfRegards

Hi,you´re getting the RHS of Eq 3.18 and 3.19 by using exp(x)=1 + x + x*x / 2! + x*x*x / 3 ! + ... . I guess this is what the author meant by "expanding exp(x) in powers of x". By removing the stochastic part in Eq 3.22 you get the mean value of S(T) on top of page 60.Regards

As far as I remember, the simulated tree algorithm from the Broadie-Glasserman paper is discussed herehttp://www.rhsmith.umd.edu/faculty/mfu/fu_files/FLMSW01.pdf

and http://www.markit.com/cds/announcements ... g_bang.pdf

<r>A brief overview to start with ishttp://<URL url="http://www.markit.com/assets/en/docs/markit-magazine/issue-4/60-cds-big-bang.pdf"><LINK_TEXT text="www.markit.com/assets/en/docs/markit-ma ... g-bang.pdf">www.markit.com/assets/en/docs/markit-magazine/issue-4/60-cds-big-bang.pdf</LINK_TEXT></URL> ...

'Introduction to C++ for Financial Engineers' by Daniel Duffy'C++ Design Patterns and Derivative Pricing' by Mark Joshi

The formula is described in Espen Haugs famous Guide to Option Pricing Formulas.

'Numerical Methods in Finance and Economics: A Matlab-Based Introduction' by Paolo Brandimarte is excellent.

You can use RtHistory. There's a description in the PowerPlus Pro Help.Regards

You can use CDSD <GO> to find the relevant issuer and CDSH <GO> to see the historical spreads.Regards

Hi Bridge,you can do this numerically and I think it is not much different than inverting BS.You just need a root solver and in each loop you're able to calculate the critical price S* with your current guess for the volatility.Regards

There are excellent books covering that topic- Heard on the street- Paul Wilmott's FAQs- Mark Joshi's new bookRegards