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- November 13th, 2005, 6:52 am
- Forum: Technical Forum
- Topic: Deltas issue with Base Correlation
- Replies: 14
- Views: 154357
Deltas issue with Base Correlation
Hi vespaGL150;Thank you for detail information about cdo delta calculation. I don't know how to calculateDV01(0-100%) as there is no market quote are available for CDX(30%-100%). Do we justsupport the spread for 30%-100% zero.Thanks.