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Help with CDO pricing speed
Hi,I am writing in C# a synthetic CDO pricing model to calibrate compound and base correlation from market prices, using Gaussian copula with credit default probabilities implied from CDS spreads. However the program is quite slow and takes too much memory. Can anyone give an estimation of reasonable computational time and suggest in general where the code could be improved? Many thanks.
Help with CDO pricing speed
if you are using different Recoveries/weights for each reference, maybe you should set a floor to your loss unit...
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- PlasticSaber
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Help with CDO pricing speed
QuoteOriginally posted by: Arlequantif you are using different Recoveries/weights for each reference, maybe you should set a floor to your loss unit...I suppose you are using semi-analytical approach. If so, loss unit is something to watch out for. The other important thing is the numerical integration scheme that you are using, e.g. order of your Gaussian quadrature....