STCDO usin one factor Gaussian in EXcel

danongohou · August 23rd, 2007, 6:38 pm

HI everybody, i am working on a homogenous case ( Synthetic CDO tranches).I have computed the Binopmial distribution from the Default probability usingthis function:BINOMDIST( Lower number of Default, Portfolio Size, Conditional Probability, False)this has been done for each Time and each firm.now my problem is to compute the portfolio loss distribution with the Integral function.can you help?all is in Excel.