CDO Price Calculator

Based on Vasicek asymptotic single factor CDO pricing model

Notional value:
Structure:
Derivative backed by: mortgages
bank loans
corporate bonds
more CDOs!
Tranche 1 attachment points:
Tranche 2 attachment points:
Tranche 3 attachment points:
 

Warning to investment banks: this is my PhD research, do not use model for actual derivative pricing! Contact: perpetualbull@gmail.com