Sample code by Peter Jackel in appendix

Appendix of this file has-
A C++ code for call option using Heston model 12
B C++ code for basket option 15
References 20

Calculates tranche spread of STDCDO using Leif Andersen, Jakob Sidenius and Susanta Basu technique of finding loss distribution by probability buceking as described in paper All your hedges in one basket

Results are similar to output of the program CDO pricing without Monte carlo simulation

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:

2273 1487
455 474
91 204


following are corresponding values mentioned in table 7:
2279 1487
450 472
89 203

An implementation variation of [http://www.quantcode.com/modules/mydownloads/singlefile.php?cid=10&lid=219]nth to Defaults CDS without Monte Carlo Simulation[/url]

Difference is that this code computes the unconditional default,accrual and accrued payments seperately , while earlier code implemented unconditional survival probabilities