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KTD - Kth to Deafult Swap Pricing with R

Eugenio De Maio

Eugenio De Maio

Joined
11/28/17
Messages
2
Points
11
Hi All,
I am struggling with a pricing model to evaluate a KTD based on MC simulations.
I have a project coded in VB but I want to code in R and the results I have are different from what I have in Excel.
Can I ask please to anyone a tip or help how to code it correctly ?
Many Thanks

Eugenio
 
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