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Hans

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24 Apr 2011 Simulate a Cox-Ingersoll-Ross process (Exact algorithm) Author: Dimitri Shvorob

Question and HELP: I would like to simulate one CIR process for m obligors in a credit portfolio n times. Assume m=1000 and n=10000 (a lot of simulations). Could it be possible to speed up your algo?

Many thanks

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