Credit Derivatives: Trading, Investing and Risk Management, Second Edition

Disclaimer

1. Use of company names in examples and illustrations in no way indicates the actual involvement of that company in the example deal or any similar deal. Use of such names is purely for a sense of realism.

2. Software is provided to illustrate certain points in the text only. It is in no way intended for commercial use and, indeed, commercial use of the software, examples, or underlying code in any form is strictly forbidden.

Most examples are in Excel (2002) spreadsheets, some requiring the dll.

A few applications are in MathCad¹ sheets (and run under MathCad 11). Sometimes the code and the application are in separate sheets. MathCad users will need to copy these sheets to a single directory and re-establish the reference to the code sheet in the application sheet. For non-MathCad users the sheets are also copied in rtf format so that the code can be read and converted to their preferred 4GL.

INSTRUCTIONS FOR THE ‘NDB PRICER’ AND THE ‘CDO PRICER’

• These spreadsheets require the ‘Xlcall32.lib’ and the ‘bookdemo.xll’ to be installed in the directory in which the spreadsheets are run. The user will also need to create the directory ‘“C://CDO intermediate output/’.

• All other Excel applications should be closed down and calculation should be set to manual (with no ‘recalculate on save’). Do not subsequently open up any other spreadsheets unless they are also set to manual calculation - doing so can cause Excel to recalculate the CDO sheet and this will lead to a crash. ...