Regarding Nth to Default and QuantoVanillaOption

[shail]

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

---

Add more friends to your messenger and enjoy! Invite them now.
------------------------------------------------------------------------------
This SF.net email is sponsored by:
SourcForge Community
SourceForge wants to tell your story.
http://p.sf.net/sfu/sf-spreadtheword
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Luigi Ballabio]

On Sat, 2009-01-24 at 00:22 +0530, shailesh kumar wrote:
> 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

It is the "N" in "Nth to default".  1 for first to default, 2 for
second, etc.


> b) Why are we using a single correlation? And for which parameters is
> that correlation for?

It is the single correlation used in the one-factor copula.


> 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??

Not at this time. The calculations should be generalized so that this is
possible. We're waiting for a volunteer.


> 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??

With the two curves, it is possible for the option to recalculate the
exchange rate automatically when the evaluation date changes.

Luigi


--

All parts should go together without forcing. You must remember that
the parts you are reassembling were disassembled by you. Therefore, if
you can't get them together again, there must be a reason. By all
means, do not use a hammer.
-- IBM maintenance manual, 1925



------------------------------------------------------------------------------
This SF.net email is sponsored by:
SourcForge Community
SourceForge wants to tell your story.
http://p.sf.net/sfu/sf-spreadtheword
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Nicolai-5]

Luigi Ballabio <luigi.ballabio <at> gmail.com> writes:

> > 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??
>
> Not at this time. The calculations should be generalized so that this is
> possible. We're waiting for a volunteer.

It is possible I have some code somewhere for this - if I look into this,
should I just attach the altered source files to this thread?

Nicolai





------------------------------------------------------------------------------
Create and Deploy Rich Internet Apps outside the browser with Adobe(R)AIR(TM)
software. With Adobe AIR, Ajax developers can use existing skills and code to
build responsive, highly engaging applications that combine the power of local
resources and data with the reach of the web. Download the Adobe AIR SDK and
Ajax docs to start building applications today-http://p.sf.net/sfu/adobe-com
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Luigi Ballabio]

On Wed, 2009-02-04 at 17:17 +0000, Nicolai wrote:
> Luigi Ballabio <luigi.ballabio <at> gmail.com> writes:
>
> It is possible I have some code somewhere for this - if I look into this,
> should I just attach the altered source files to this thread?

Yes, posting here is ok.

Thanks,
        Luigi


--

Green's Law of Debate:
Anything is possible if you don't know what you're talking about.



------------------------------------------------------------------------------
Create and Deploy Rich Internet Apps outside the browser with Adobe(R)AIR(TM)
software. With Adobe AIR, Ajax developers can use existing skills and code to
build responsive, highly engaging applications that combine the power of local
resources and data with the reach of the web. Download the Adobe AIR SDK and
Ajax docs to start building applications today-http://p.sf.net/sfu/adobe-com
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users