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mbrc

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oliverkostorz / MBRC-Pricing

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Bloomberg terminal-integrating python code to price Multi Barrier Reverse Convertibles (MBRC) as the expected value of fair values derived through differential equations during multiple (1000) Monte Carlo simulation runs. This code was created as a side topic and not proof-read. It is not intended for commercial use, nor meant to be seen as fina…

python pricing bloomberg reverse multi barrier convertible mbrc multi-barrier-reverse-convertible
  • Updated Jul 8, 2022
  • Python

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