Published December 12, 2022
| Version v1
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Repo Curve
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Description
A repo curve is defined as an adjustment to the discount curve in the pricing of a bond/FRN, when the credit default swaps (CDS) market implied default probability of the issuer is used in the pricing. We have changed the repo curve generation methodology.
Notes
https://ia601408.us.archive.org/7/items/arbitrary-cash-flow/ArbitraryCashFlow.pdf
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RepoCurve.pdf
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(140.7 kB)
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