Published November 23, 2022
| Version v1
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Base Correlation Test
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Description
The mapping methodology, named scaling, has been extended so that a scaling factor can be adjusted. The bespoke base correlations are also calibrated to the base correlations with different indexes and different maturities, when the composition and maturities of the bespoke trade differ from those indexes.
Notes
https://finpricing.com/lib/FiZeroBond.html
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baseCorrelationTest.pdf
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(146.4 kB)
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