@article {Baheti33, author = {Prasun Baheti and Roy Mashal and Marco Naldi}, title = {Step it Up or Start it Forward}, volume = {16}, number = {2}, pages = {33--38}, year = {2006}, doi = {10.3905/jfi.2006.656007}, publisher = {Institutional Investor Journals Umbrella}, abstract = {We introduce a simple algorithm for the fast valuation of {\textquotedblleft}reset tranches,{\textquotedblright} a class of default-path-dependent structures that includes forward-starting contracts and subordination/leverage step-ups. After showing how to price these instruments quasi-analytically, we offer a few examples to illustrate how reset tranches can be used by buy-and-hold investors for yield enhancement and for expressing views on the timing of defaults.TOPICS: Performance measurement, CLOs, CDOs, and other structured credit}, issn = {1059-8596}, URL = {https://jfi.pm-research.com/content/16/2/33}, eprint = {https://jfi.pm-research.com/content/16/2/33.full.pdf}, journal = {The Journal of Fixed Income} }