<t>Hi,I'm trying to implement a CDS model in C++, I'm using an intensity model with a cumulative hazard function defined as Lambda(t) = at²+bt. With Excel I use the Solvor in order to find the hazard rates by minimizing the sum of squared errors.Is there any source code to do the same with C++.Thank...

yeah u'r right. But I don't have that. So I'm trying to calibrate my model's defaut intensity. but it doesn't work well

<t>Hi,I'am trying to calculate base correlation for CDX.NA.IG standard tranches. I'm using the algorithme discribed in the Merril Lynch pas paer "Base Correlations" Nov.10, 2004. I have 3 questions :1) I'm using an intensity model with a Normal copula, first of all, I'm trying to find the default in...

<t>Hello,I priced a STCDO with an intensity model.I'm trying to find sensitivities of tranches but the only formulae i have is the folowing : delta = (change in MTM of tranche)/(change in MTM of credit) but how may I find the " change in MTM of tranche" and the "change in MTM of credit". Any ideas ?...