### Vasicek's LHP model: Base Correlation Calculator

Please enter the inputs, and click the button to compute the base correlation:

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Black Scholes

European Options: Maths and Story
European Options: Price and Greeks
European Options: Price and Greeks with Analysis
European Options: Implied Volatility
Cash or Nothing Options: Maths and Story
Cash or Nothing Options: Price and Greeks
Cash or Nothing Options: Price and Greeks with Analysis
Asset or Nothing Options: Maths and Story
Asset or Nothing Options: Price and Greeks
Asset or Nothing Options: Price and Greeks with Analysis

FX

FX Options: Maths and Story
FX Options: Price and Greeks
FX Options: Price and Greeks with Analysis
FX Options: ATM Strikes and Deltas
FX Options: Strike from Delta and Volatility
FX Smile: Volatility for given Delta
FX Smile: Volatility for given Strike
FX Smile Curve from RR and Strangles
FX Smile: Smile Strangle from Market Strangle
FX Smile: Market Strangle from Smile Strangle

Basket

Vasicek's LHP and HP: Maths and Story
Vasicek's LHP: Loss Distribution
LHP: Simplified CDO's Price and Greeks
LHP: Simplified CDO's Base Correlation
LHP: Simplified CDO's Price and Greeks with Analysis
LHP: Tranche CDO Swap Spread
HP: Nth-to-Default Protection's Price and Greeks
HP: Nth-to-Default Protection's Price and Greeks with Analysis
Markowitz: Maths and Story
Markowitz: Mean Variance optimisation

Short Rates

Yield Curves

Rates

Home

Please enter the inputs, and click the button to compute the base correlation: