<t>Hi meteor,Thanks a lot! I got the point!From the implementation perspective, will it be enough to generate an empirical distribution just once and "hard-code" it in the software?Secondly, once I have the empirical CDF, to get the inverseCDF do I have to use some kind of an approximation there?Thi...

just to make a clarification (possibly trivial) .. I am trying to implement the "double t copula" and not the "student t copula".

Hi Meteor,What exactly are S_1 and S_2 ?I mean, I am not able to understand why we are talking of adding two student t random variables here?Tarun

<t>Thanks for the reply meteor.I went through 2 papers and both mentioned that the distribution function for the idiosyncratic factor needs to be "computed numerically"pardon my ignorance, but I am not sure how to go about doing this. I read that I can use Newton Raphson for the same. However, I do ...

<t>Hi,For the 'double t-copula' I am interested to know if you guys found out about the unspecified distribution for the unconditional default probability at time 't' ?I assumed Gaussian, but the results did not match with HW results... please let me know... any hints would be appreciated ... Thanks...

Thanks meteor!!

Hi Meteor, Is this documented somewhere? Please let me know.Thanks,Tarun

<t>Hi,I have implemented Hull and Whites Probability bucketing approach for pricing the tranches (in Appendix B of their paper: Valuation of a CDO and nth to default CDS without Monte-Carlo Simulation)I however used the same Same notional size for all the 125 assets in the basket (I implemented it f...

Thanks a lot gc! that was really stupid of me.I will start using Option Explicit (This is my first time with VBA.. I am a Java programmer)Best,Tarun

Hi Sanjay,I am using my lecture notes. Please see page 8 of the attached for the Normal model.Any hints would be appreciated!Thanks,Tarun

<t>Hi,I am implementing a simple Normal Model for Swaption Pricing.I first try to price European Puts and European Calls as follows:BNCalls = normvol * sqrt(T) * (d1 * N(d1) + N'(d1))BNPuts = normvol * sqrt(T) * (d2 * N(d2) + N'(d2))where:d1 = +(F - K) / (normvol * sqrt(T))d2 = - (F - K) / (normvol ...

<t>Thank you.Well, the difference for the equity tranche is about 200bps no matter what correlation I use (thats what worries me.). It is relatively very stable for the Mezzanine tranches as you would see from the results below for different correlations. I will try the 48 node integration and vary ...

<t>Hello,I have implemented the Hull and White model [Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation]...I used a 30 point Gaussian Quadrature for numerical integration. As you would see from the results below, except for the equity tranche, the results for other tranches...

<t>Hello,I have implemented the Hull and White model [Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation]...I have used a 30 point Gaussian Quadrature for numerical integration. As you would see from the results below, except for the equity tranche, the results for other tra...

Hi,Would be great if someone who has finished the model can email it to me at: tarun.makhija@gmail.com ..Thanks,Tarun