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Jul 28

CDO Pricing in Gaussian Copula

Posted by abiao at 08:20 | Code » C++ | Comments(0) | Reads(16504)
CDO prices with Monte Carlo simulation includes the creation of roads in the sample correlation preset times. This defect is sometimes used to calculate payments to fixed and floating legs and worth of each leg.

more at http://math.nyu.edu/~atm262/spring06/ircm/cdo/index.html

wiki(Collateralized debt obligations)

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