Published December 1, 2022
| Version v1
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Variable Maturity CDO Valuation
Creators
Description
The model serves the purpose of pricing a non-vanilla synthetic CDO trade, where the maturities of the underlying synthetic assets in the collateral pool can be different from the trade maturity.
Notes
https://ia804703.us.archive.org/1/items/threeFactorConvertible/threeFactorConvertible.pdf
Files
VariableMatCDO.pdf
Files
(132.8 kB)
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