Thank you very much for your contributions. However, this needs to be done with a nested loops. The lecturere is very strict about it.

<t>Hello people,I need help on a "nested loops" problem in VBA. I know you could easily calculate the sumproduct of x and y by using the function in Excel, but I need to implement a VBA code with two loopsx = 1, 2, 3, 4, 5 y = 6, 7, 8, 9, 10This is my code so far. Unfortunately it only calculates 5 ...

<t>I have to come back to you I have the original FTD spread and the FTD spread after bumbing the reference entity by 1 bp.But what do you mean by "The variation of the CDS spread"??I found an equation reading: (V_FTD / S_i) / (V_i / S_i)So V_FTD is the new FTD Spread?S_i is the original CDS spread?...

Have Merril Lynch and Lehman Brothers acted as protection sellers when it comes to credit derivatives? If yes, where can I look this up?

All right. Thanks for helping me out

I'm just a beginner If you know a specific link, I'd be endlessly grateful

Thank you.Do you have such a spreasheet in Excel?

Thank you for your reply, but how do I get NPV1?Is it possible to calculate this numerical example without computer porgrams?

People, this is really important. There is not even one numerical example on the internet

Do you know internet sites where I can look up market FTD spreads and the individual credit spreads which constitute the basket?

Still no one?

No one?

The notional size of the basket is: 10 Million!Please help

How exactly is the Delta calculated?Basket size: 5 names with issuer spreads at 30, 60, 90, 120, 150bpMaturity: 5 yearsAsset correlation: 20%Order: First to defaultThe CDS delta hedge for 30bp should be 6.557 ($m) but how do I get this result?Example is taken from O'Kane (2008)

<t>Thanks Joey and Dave!I don't need an exact CDS spread, just an intuitive approximation:Using "Hazard Rate = Spread / (1 - Recovery)" with this data...Hazard rate: 1%Recovery: 20%Interest rate: 5%Annual payments: 4Time = 3 Years.. I get a CDS spread of 80 basispoints.However, if I run a computer p...