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EazyDS/EffectiveMarkovianProjection
Code for the paper "Effective Markovian Projection: Application to CMS Spread Options and Mid-Curve Swaptions", Felpel, Kienitz, McWalter
Jupyter Notebook
Code for the paper "Effective Markovian Projection: Application to CMS Spread Options and Mid-Curve Swaptions", Felpel, Kienitz, McWalter
Jupyter Notebook
This repository is not active