I coded this up using logic from Chaplin's excellent book

http://www.amazon.co.uk/Credit-Derivatives-Management-Trading-Investing/dp/047002416X/ref=sr_1_1/026-3520114-3646802?ie=UTF8&s=books&qid=1193910857&sr=8-1

The next step is to get this working in an enterprise application (C#) - this will speed the calculations up dramatically. I will then use real time feeds from brokers such as CreditEx to price in near real time.

Pricerv1.zip (63.47 KB)

Some references that I found useful

References.xls (16 KB)

Guide_to_Exotic_Credit_Derivatives.zip (938.86 KB)