might be a lame answer, just tryingWe can get the volatility surface for the basket if we have volatility surfaces of the basket components (by applying correlation)using implied volatility trinomial tree method (by derman and Kani) price of the options could be calculated.

<t>Please try to give your thoughts on following quesries too.1. What is VoD100% (Value on default, 100% Recovery) and VoD0% (Value on default, 0% Recovery)2. I feel VoD100% should be equal to MTM of asset after default. Am I correct? AND VoD0% should be 0. However while going through Incremental Ri...

As I understand, for every credit rating there is an associated credit spread. How to calculate new cradit spread when credit maigration happens?