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MCCS Dataset
The dataset used in this paper is a collection of Mid-Curve Calendar Spread (MCCS) trades, ranging from September 2006 to September 2016, with different expirations, forward and... -
Convexity adjustments `a la malliavin` dataset
The dataset used in the paper is the Convexity adjustments a la malliavin dataset, which contains the convexity adjustments of financial instruments. -
Stochastic Volatility for Factor HJM Framework dataset
The dataset used in the paper is the Stochastic Volatility for Factor HJM Framework dataset, which contains the prices of financial instruments. -
SOFR futures contracts dataset
The dataset used in the paper is the SOFR futures contracts dataset, which contains the prices of SOFR futures contracts.
