<t>Hi,I want to price USD swaption. I know how to calibrate the model if it is a Normal or LogNormal model. I have the vol ATM and the skew.If I have a shifted lognormal mode, how can I calibrate the vol and the shift?Any paper you can recommend which explain that?[$]dF_t=\sigma_{DD} \left(F_t -\the...

<t>Hi,I built a swap, forward swap and swaption, forward swaption calculator.I noticed that for my 30Y swaps or swaptions my price difference between a benchmark and my calculator is too large (I am using Bloomberg or Citigroup as benchmark). My ATM is matching very closely the benchmarks. If the ma...

<t>Hi guys,I currently working with CDX and Itraxx index, and I would like to understand better how the factor impact the pricing and the conversion from spread to price.If the factor change form 1 to 0.97, a new version of the index is created. If I understand correctly, the only change is when we ...

<t>Hi guys,Did anyone look at the new Matlab version R2014a (released few months ago) and their implementation of Credit Default Swap Option?I was comparing it to CDSO on Bloomberg or the ICE calculator for intermediate steps: TheICE - Like calculating the RPV01 or the spread can be done both with a...

Just for info, I found the solution. JpmcdsCdsFeeLegPV is indeed the RPV01.

<t>Hi,I am looking at the ISDA C codeCDS_Model_CodeIs anyone familiar with this code? It seems to be use by a lot of broker as standard. I would like to find the RPV01 which is by definition:Fixed leg=Fee Leg= RPV01*CouponSo looking at the code, I used JpmcdsCdsFeeLegPV function with coupon =1.What ...

<t>OK, thank you. I will ask to move the post to Student forum. I took a look at the CDS model from ISDA. It is what I was looking for. I succeeded to match my benchmark for conversion of Upfront and Spread. Trying now to find how to extract the RPV01 from the code so it will help me to value CDX Op...

<t>Hi, Do you guys know if any code in C# (or other language) is available for pricing CDS indice option (or CDS at least)?I am currently looking at O'Kane books : Modelling Single-name and Multi-name Credit Derivatives.And I saw some implementation in Matlab (brand new version), but I am not sure o...