Calculates tranche spread for CDO using technique described in Appendix A of paper Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation
Formulas for CDO legs valuation are based on CDO Lecture notes
Results are not a perfect match to the values metnioned in Table 7 of Hull's paper, but somewhat near. Don't know if it is because numerical approximation error or a bug.If someone has suggestion please do discuss below.
eg., following are values obtained by running this program:
following are corresponding values mentioned in table 7: