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In this paper we investigate one‐factor models that extend the classical Gaussian copula model for pricing tranches of CDOs. We introduce Lévy base correlation and compare it to the classical Gaussian copula. The results of a historical study of both models on the iTraxx Europe Main dataset are presented. Our focus is on the base correlation surface and on the deltas of the tranches with respect to the index. We observe that the Lévy base correlation curve is much flatter than the corresponding Gaussian one. With respect to the deltas we conclude that the Lévy model produces larger deltas for the equity tranche and smaller deltas for the senior tranches. Copyright © 2009 Wilmott Magazine Ltd

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Ever increasing complexity and heterogeneity of SoC platforms require diversified on-chip communication schemes beyond the currently omnipresent shared bus architectures. To prevent time consuming design changes late in the design flow, we propose the early exploration of the on-chip communication architecture to meet performance and cost requirements. Based on SystemC 2.0.1 we have defined a modular exploration framework, which is able to capture the effect on performance for different on-chip networks like dedicated point-to-point, shared bus, and crossbar topologies. Monitoring of performance parameters like utilization, latency and throughput drives the mapping of the inter-module traffic to an efficient communication architecture. The effectiveness of our approach is demonstrated by the exemplary design of a high performance Network Processing Unit (NPU), which is compared against a commercial NPU device.

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