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Credit Default Simulation - How to incorporate Default Recovery? #4

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ulf1 opened this issue Aug 9, 2017 · 0 comments

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ulf1 commented Aug 9, 2017

set full/100% recovery after 10 legs with factor 0.01

trans_mat[-1,:-1] *= .01;  
trans_mat[-1,-1] = 1 - trans_mat[-1,:-1].sum();

try this

x = .05
rr = ((1-x)*x) + x

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