Price quanto CDS where protection payment is in a different currency from the reference obligation. FX-credit correlation creates a quanto adjustment to the survival probabilities.
Price quanto CDS where protection payment is in a different currency from the reference obligation. FX-credit correlation creates a quanto adjustment to the survival probabilities
Each component has a specific meaning:
Note: Interpret the quanto cds fx corr result against the thresholds and context described above.
Enter the reference obligation for the scenario you are assessing. Price quanto CDS where protection payment is in a different currency from the reference obligation. FX-credit correlation creates a quanto adjustment to the survival probabilities. Use the quanto cds fx corr result to inform your calculation.