Published November 28, 2022
| Version v1
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Forward Starting CDO Model Implementation
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Description
The forward starting CDO (FSCDO) valuation model serves the purpose of pricing FSCDO trades, which are defined as a forward agreement to enter into a CDO trade at some time in the future. Any obligor defaults before the forward starting date will be replaced by a risk free asset with the same notional amount.
Notes
https://ia904709.us.archive.org/7/items/forward-starting-option/ForwardStartingOption.pdf
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FSCDOImplementation.pdf
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(172.6 kB)
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