Published December 1, 2022
| Version v1
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Basket Default Swap and CDO Valuation
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Description
A pricing model is presented to calculate Mark-to-Market (MTM) and all sensitivities for basket default swaps and Collateral Debt Obligations (CDOs) (FirstNofM, GiantFirstLoss, GiantFirstLossPayEnd, Caribou, and Reindeer). It is composed of the credit library, BulkCurveGenerator, five outstanding pricing templates, and Scenario Manager.
Notes
https://ia904704.us.archive.org/3/items/cmsSpreadOption/cmsSpreadOption.pdf
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basketDefault.pdf
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