Check out this book -Implementing Derivatives ModelsLee Clewlow and Chris StricklandThey have pseudo-code as well.

<t>MarcelWu,There is a bit of contradiction in your statement. Your first post says "if the underlying average stock price below/over some predetermined price for some time during some resetable period, the conversion price is reseted" whereas in the next post "there is no reset up of conersion pric...

yes, it does. Delta is lower for the upfront payment.

Refer to CDO delta calculation thread.

Usually people shift by a fixed amount and not by %. if you shift by %, delta hedging is not same as "Duration Neutral" or hedging against parallel shift.

daveangel,How can a delta hedged equity tranche have correlation convexity? You loose a lot of money when correlation goes down.-gulati

Thanks, Soren. I also couldn't find any of these papers....do you know the gist of these papers?

<t>Has anyone compared delta (or leverage) given by base correlation and compound correlation models? I am using standard 1 factor gaussian coppula model. I notice that compound correlation model's deltas are quite higher for mezz tranches (esp 5 year maturity) as compared to base correlation model'...

Has anyone compared delta (or leverage) given by base correlation and compound correlation models? I am using standard 1 factor gaussian coppula model. I notice that compound correlation model's deltas are quite higher for mezz tranches as compared to base correlation model's. Any thoughts?

<t>I am using C#. I implemented a part of the calculations in excel and I get exactly same (wrong) results as my program. So may be it is a floating point calculation issue with microsoft. Also, it works fine for the names with spreads close to the average. If a name has very high spread, I end up h...

<t>pj, thanks for your comments. Your point is valid that it is because of multiple equal and opposite operations (such as multiply and divide by same number which may be very large or small) but not becuase of repeated application of cummulative normal and its inverse. Cummulative normals are invol...

<t>I am trying to implement Andersen's method (All your hedges in one basket) to calculate delta for each underlying name. So once the survival probabilities are calculated, one name can be removed and then added back in with 1 bp higher spread. This method of removing and adding names is numericall...