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How to price CDS index tranchelets?

Ye Zhou

Joined
1/2/12
Messages
1
Points
11
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.
 

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