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updated almost 5 years ago

Fitting Survival Probability Models by Gabo

Companion code for "Fitting Survival Probability Models" article. (credit default swaps, cds, wilmott)

genHazFun(t,b)

protectLeg(Term,Settle,PL_Date,Basis,LIBOR,Recovery,probf...

rpv01(Term,Settle,RPV_Dates,Basis,LIBOR,probfun,b)

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