Credit risk from first principles: Merton structural model (equity = call on assets, debt three independent ways), hazard/intensity survival, CDS legs + bootstrap, defaultable bonds. Every formula identity-tested — the credit triangle emerges, never echoed. No pricing library underneath.
C++17 engine linking sovereign CDS spreads to Eurobond prices; duration, convexity and full cash-flow revaluation, cross-checked against OLS on historical yields. Validated against TBB course examples. Educational project; not financial advice, sample data is synthetic.
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