<t>Dear everybody, I have a numerical question about an issue of the CDO pricer: I am applying the usual Andersen algorithm (the one that calculates deltas by inverting the matrix having (1-pk) in the diagonal and pk in one of the lower diagonals), where pk is the probability of default of issuer k....

<t>Hi everybody,does someone know a reference article for pricing foreign currency default swaps? They are like CDS with as underlying a currency. The credit event happens when the spot rate drops by a prefixed quantity (say, 5 sigma) from the spot rate at the date of inception.I have heard that Mer...

Dear all,If I have a two-barrier option (say, up out and down out), Wilmott says that should be priced with Fourier techniques. Can't they be priced likeup in + up out and down out + down in = vanilla, like in+out = vanilla?