CDO tranche spreads using GSL [C++ GSL]

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CDO tranche spreads using GSL
Submitter: vanna	Date: 2006/12/29

Description: Calculates a range of tranche spreads for given input parameters of rho and tranche vectors. Spread calculation is based on using Gaussian copula as described in paper "Copula Functions and their Application in Pricing and Risk Managing Multiame Credit Derivative Products" Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
942 0 bytes C++ GSL http://www.quantcode.com/
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