But what data should my distribution fit? Should I use the default probabilities? Survival probabilities???Could you be a little more specific pls?Thanks

<t>Hi,I'm interested in implementing the gaussian copula method to price first to default contracts. Typically would be on sovereign issuers (5 or 6).I already understood how to generate random numbers with a Normal correlation structure with the use of the cholesky decomposition.But I can’t underst...

Macca:Would you be so kind to send me a copy too? My e-mail is pedroraquel@sapo.pt.Thanks in advance,Pedro Raquel

QuoteOriginally posted by: SierpinskyJanitorPedro Raquel ....!.... mais um tuga aqui no forum? Benvindo.Obrigado!

Thank you both for your help.

Could someone pls recomend a good model for valuing Fist to Default Notes? It doesn't have to be a great model but one that could be useful for revaluations and indicative prices.Some papers on this kind of models would be nice too.Thanks,Pedro Raquel

<t>QuoteOriginally posted by: mutleyI guess you could call it 'vol bootstrapping'.Flat vols: this is the constant vol number you give to all caplets underlying a certain cap such that the sum of their PVs equals the market cap price. Clearly, some will be over priced and others will be underpriced. ...

<t> Hello Aaron,could you or anyone give me an example of quotation page ( the font data house if private) that gives cap prices for every payment time? I'm interested in comparing Libor vols obtained interpolating cap prices with the real ones but I only have reuter's ICAP's feed . It would be kind...

<t>What I did was to calibrate a, b, c and d to the cap volatilities quoted in the market for different maturities and then use those parameters to obtain vols for other maturities that are not quote in the market. In this way do I get market prices for caplets of different maturities or just some v...

<t>I have made some research on how to imply caplet vols from cap vols and I have encountered two ways of doing so:1)Use the functional form σ(t) = (a+bt)exp(-ct)+d for volatility structure;2)Use caps premiums and used them to imply caplet vols (ex. We have 1y and 2y caps. 1y cap has only one option...

<t>Thomssi, could you pls help me with Gary Licht model?He says that the Error Term is negligible because j(ti;1/4) > 4 ( j(ti;1/4) < 1/α ). This is because JIBAR is a quarterly rate witch implies α=1/4.Since Libor rates are annually compounded does this imply that α=1 and that the Error Term won’t ...