CDS on a convertible bond
Posted: August 13th, 2004, 11:13 pm
My question is how to calculate the spread of a CDS.Indeed it's easy to calculate a spread of a CDS with a merton's model. But this model is a strike barrier option on the debt by share.And in the real world, the CDS are used with convertible bonds or classical bonds.So, how can I calculate the spread on a CDS linked with convertible bonds or classical bonds ?Who have excel sheets with or without VBA ?Thanks for your help