Publisher review:Fast Computation of the Expected Tranche Loss of CDO Credit Portfolio - An algorithm for fast computation of the expected tranche loss of CDO credit portfolio. The code is explained in the article P. Okunev, "A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model", LBNL-57676, 2005
Futher refinments of this algorithm are descibed in Okunev, Pavel, "Using Hermite Expansions for Fast and Arbitrarily Accurate Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model" .
This is a MATLAB code. It's relatively easy to adapt it for VBA. ATTENTION: This code was tested and works well for portfolios of size 125. The accuracy will decrease for smaller portfolios. Higher accuracy can be achieved using the methos described in Okunev, Pavel, "Using Hermite Expansions for Fast and Arbitrarily Accurate Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model".
This implements one factor Gaussian model.[loss]=gsloss(L,w,p,a,d,N)L = exposures,as fraction of totalportfolio, taking into account the recovery rate Example: loan 1 is 0.01 fraction of the total portfolio, recovery rate is40% then L(1)=0.01*(1-0.4)w = loading factorsp = default probabilitiesa = attachement pointd = detachment pointN = number of names in the portfolioloss = expected tranche loss as percentage of the portfolio nominalexpressed in basis pointsCopyright by Pavel Okunev 2005E-mail: pokunev@math.lbl.govThis code is provided as is. The author provides no warranty and assumes no responsibility for any losses due to the use of this code.You are granted permission to use this code for personal use and for academic research.This code may not be used for commercial purposes without explicit permission by the author. Requirements: ยท MATLAB Release: R14
Fast Computation of the Expected Tranche Loss is a Matlab script for Earth Sciences scripts design by Pavel Okunev.
It runs on following operating system: Windows / Linux / Mac OS / BSD / Solaris.
Operating system:Windows / Linux / Mac OS / BSD / Solaris
Fast Computation of the Expected Tranche Loss script details 
