Y Ye Zhou Joined 1/2/12 Messages 1 Points 11 12/5/16 #1 Hi guys, any idea how to price CDS index tranchelets please? for example, iTraxx XO S22, if I know the upfront of tranche 0-10%, how can I price tranchelets 0-5% and 5-10%? Thanks in advance.
Hi guys, any idea how to price CDS index tranchelets please? for example, iTraxx XO S22, if I know the upfront of tranche 0-10%, how can I price tranchelets 0-5% and 5-10%? Thanks in advance.
