Range Accrual on a CDS

traderx · February 7th, 2008, 4:00 pm

Hi Folks, Im new to this forum.I have been looking for the last week, a model for calculating the value of a Range Accrual on a CDS. After speaking with Numerix, and FINCad, they both don't have a way to price this.Perhaps someone can start pointing me in the right direction, as I need a way to learn how to calculate such structure.Basically the structure is5 year CDS on El SalvadorPay 4.875% each day El Salvador CDS is outside 0.30 and 1.40Thanks and I wish to hear from you guys soon.

Squal · February 10th, 2008, 8:34 am

try to us a black model on the forward cds rate: dF/F=sigma.dWThe problem is you need some volatilvity quotes to calibrate the process. I guess you don't have option on EI Salvador.....

horacioaliaga · February 14th, 2008, 2:25 pm

I think you can perfectly do it using Nx