Hi guys, Does anyone know any specifics of the methodology used by bloomberg in its OVSN function to price reverse convertible notes? The PDF description of the function says this:The price is calculated with a Montecarlo multi-dimensional Black-Scholes model with marketimplied volatilities and historical correlations. Features of this model include the following:Fully customizable volatilities, dividends and correlations.Implied volatilities from exchange traded options or historical volatilities.Automatic quanto adjustment for baskets with multiple currency underlings.Continuous or European (at maturity) barriers.Pricing with credit spread (OAS) to take into account credit risk of the issuer.Which is perfectly fine, yet ambiguous enough so as not to reveal anything. I have a huge dataset of structured notes and Bloomberg will not add their OVSN function on the API. So I am trying to replicate the function myself.Thanks in advance!

Why would you do that ? I think in the past it was quite inaccurate and therefore useless...even worse for everything more complex like autocalls