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EazyDS / EffectiveMarkovianProjection

Code for the paper "Effective Markovian Projection: Application to CMS Spread Options and Mid-Curve Swaptions", Felpel, Kienitz, McWalter

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Code for the paper "Effective Markovian Projection: Application to CMS Spread Options and Mid-Curve Swaptions", Felpel, Kienitz, McWalter

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