4 datasets found

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...

The dataset used in the paper is the Convexity adjustments a la malliavin dataset, which contains the convexity adjustments of financial instruments.

The dataset used in the paper is the Stochastic Volatility for Factor HJM Framework dataset, which contains the prices of financial instruments.

The dataset used in the paper is the SOFR futures contracts dataset, which contains the prices of SOFR futures contracts.