jfuqua u were too lucid in ur description. Thanks 4 the help. i gained a lot.

<t>if u have developed tranched pricer then its simple if u do it by brute force method.say u r pricing mezz u get 80 bps.now u want to find delta of say ford.say ford spread is 20 bps.kick it 1 to 5 say 1 bps.calculate the new price.if u r using monte carlo simulation generate same random numbers b...

<t>if u have developed tranched pricer then its simple if u do it by brute force method.say u r pricing mezz u get 80 bps.now u want to find delta of say ford.say ford spread is 20 bps.kick it 1 to 5 say 1 bps.calculate the new price.if u r using monte carlo simulation generate same random numbers b...

<t>hi,use copula to generate correlated random number. any copula will do ir.for example if u have to generate correlated uniform random numbers follow the following steps-suppose correlation matrix is R and we r using gaussian copula-1) Find any suitable decomposition of R( say cholesky) R=AA'2) dr...

<t>Bear stearns paper " Valuing and hedging synthetic CDO tranches using base correlation" says-Supposing we have base correlation for standard CDX detachment points and we have to price 6-11%-1) Find the price of the 0-6% tranche by interpolating between 0-3% and 0-7% correlation.2)Find the price o...

<t>that criteria is also what i have to develop. like we might look at risk to return. for that u will hae to give some numerical score to rating. for example obligor A spread is 90 basis point and rating BBB- (we somehow give BBB- score of 11) and there is another obligor B with spread as 10 basis ...

<t>suppose there r 500 companies. u know there raiting and edf. how to choose optimal porfoliio of size 100 from it? can any one post some paper or optimization algorithm. we have some other linear constraints to like maximum number of companies from particular sector, maximum number of companies fr...

<t>suppose there r 500 companies. u know there raiting and edf. how to choose optimal porfoliio of size 100 from it? can any one post some paper or optimization algorithm. we have some other linear constraints to like maximum number of companies from particular sector, maximum number of companies fr...

<t>when a cdo deal is made different prices r quoted from both the sides and negotiated. when a new porfolio is launched some guys use sector wise correlation or equity implied to price a cdo and when deal is through once base correaltion curve is obtained. for base correlation i there are 3 papers....

<t>first of all ur question is not clear. if ur question is that given the price and correlation of DJ itraxx can u price other portfolio,s then answer is nooooo. u will have to price a tranche by a so model. currently market players are using gaussin copula approach with monte carlo simulations. if...

hey wells why dont u complete ur program and calculate the spread of cdo tranche.and match the results with dj itraxx.

reply thanks for the method. my problem is solved.

<t>i priced the synthetic stcdo tranche using gaussian copula monte carlo simulation.to find delta of the tranche i increase the spreads of all obligators by 1 bp and calculate the change in spread of the tranche.repeat the same procedure by decreasing cds spreads of all obligators by 1.tranche delt...

<t>i priced the synthetic stcdo tranche using gaussian copula monte carlo simulation.to find delta of the tranche i increase the spreads of all obligators by 1 bp and calculate the change in spread of the tranche.repeat the same procedure by decreasing cds spreads of all obligators by 1.tranche delt...

heyy i filled in the information yet i havent recieved the code