Basket default Swap Pricing [C++, GSL, Visual C++ express 2005iffer]

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Category: C++	View Full Details
Basket default Swap Pricing
Submitter: vanna	Date: 2007/6/3

Description: An implementation variation of [http://www.quantcode.com/modules/mydownloads/singlefile.php?cid=10&lid=219]nth to Defaults CDS without Monte Carlo Simulation[/url] Difference is that this code computes the unconditional default,accrual and accrued payments seperately , while earlier code implemented unconditional survival probabilities Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
955 0 bytes C++, GSL, Visual C++ express 2005iffer http://www.quantcode.com/
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