Fw: Regarding Nth to Default and QuantoVanillaOption

[shail]

Hi

I guess every one is busy........

I just need to know what are the variables refering to in terms of real scenarios.
Hope i get a response very soon.............

--- On Sat, 24/1/09, shailesh kumar <[hidden email]> wrote:

From: shailesh kumar <[hidden email]>
Subject: [Quantlib-users] Regarding Nth to Default and QuantoVanillaOption
To: "quantlib" <quantlib-users@lists..sourceforge.net>
Date: Saturday, 24 January, 2009, 12:22 AM

Hi

Can please any one help me?
I have some queries in Nth to Default

a) What is the size "n" that has to be passed while creating the object of Nth to Default
b) Why are we using a single correlation? And for which parameters is that correlation for?
c) When i create a basket of Issuer,then each Issuer should have it's own default probability    term structure and it's recovery rate.But here we are using the same recovery rate for all issuers in basket..Is it possible to give different recovery rate??

In case of QuantoVanillaOption,while pricing with Quanto Engine we need exchange Rate Volatility term structure and a correlation.Why are we not taking the predetermined Exchange rate instead of taking Exchange rate volatility Term structure and correlation??

Thanks in advance

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