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| Date | Name | Thumbnail | Size | Description | Versions |
|---|---|---|---|---|---|
| 00:38, 25 April 2026 | Applying Breeden-Litzenberger to swaption prices.pdf (file) |  |
299 KB | This project applies the logic of Breeden-Litzenberger to extract conditional densities from swaption prices around important FOMC decisions. The data was extracted from Bloomberg, and contains the normal implied volatilites of +-200bps ATM for 3 month - | 1 |
