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Gregory's Spreadsheet JG_XLS_8.4 (CCS swap)

Thread starter #1
There is a correction in the spreadsheet: JG_XLS_8.4 (CCS swap)

Example at time 0.025

PFE for CCS
=SQRT(B17*(10-B17)^2*IRVol^2+B17*FXVol^2+2*IRFXCorr*B17*SQRT(10-B17)*IRVol*FXVol)

The square root term on the last term should be eliminated and thus the correct formula is

=SQRT(B17*(10-B17)^2*IRVol^2+B17*FXVol^2+2*IRFXCorr*B17*(10-B17)*IRVol*FXVol)

I seen Gregory's spreadsheet on his website and it is the case.
 

David Harper CFA FRM

David Harper CFA FRM
Staff member
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#2
Okay thank you I will check it out, that actually makes sense! Although why isn't the initial B31 squared, shouldn't it be?:

=SQRT(B17^2*(10-B17)^2*IRVol^2+B17*FXVol^2+2*IRFXCorr*B17*(10-B17)*IRVol*FXVol)

Can i ask, did you see this in an updated XLS version, or did he explicitly identify in an errata? Thanks!
 
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