<t>Hi Andrew,This is my frist day in this forum. I am familiar with basic V programming for Excel macros but I am trying run Bloomberg API fro the first time using VB. I am doing this on a machine which has Bloomberg...This is the code snippet I took from the examples in Bloomberg API documentation....

HTFB,with reference to your post about pricing index options, are you suggesting that we price a single-name option without knock-out exactly the same way we do an index option; since u suggest that we just use the index spread for all the index constituents...

Btw, I am talking about a single name CDS option without knock-out

<t>HTFB, u suggested for receivers: No-knockout = knockout for payers: No-knockout = knockout + cost of protection from t=0 to expiry I have made a model that does exactly the same. However, won't the put-call parity cease to hold if we add a front-end protection to payer and leave the receiver as i...

<t>Hi,I am trying to price single-name CDS options with no-knock-out. According to the Lehman paper in this thread, it says that we add a front-end protetcin value to the payer option price found using a Black's model to add the possibility of default before option maturity. However, the no-knockout...

Hi,Does someone have this ML Handbook on Credit Derivatives - Vol1? Pls post