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Pricing Bespoke Index Tranche
Hello, I have read many articles here about using base correlation to price Index tranches. If one was pricing an off-the run tranche does one simply apply a linear interpolation off the correlation skew? I have been hearing that process is incorrect and that further calculation needs to be performed to obtain a correct measure of correlation at the given attachment/detachment. Would someone be able to give me some more insight into this please if possible? Cheers.
Pricing Bespoke Index Tranche
Sorry to bother u chaps again but anyone got any info on this please