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EpiCurves
Zero-curves package: (spot rates, forward rates, ...). Built on the basis of the full information available in the market (unlike bootstrapping, or any product presently available in the industry). The zero-curves are smooth and stable with respect to data perturbations. Does not use heuristics<*dv_1*> to obtain smoothness (like Kamakura, et al.).
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<*dv_0*>copyright ©2001 EpiSolutions Inc.