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Here is my understanding of your question, I might have oversimplified your problem, and made some hypothesis that were not yours. Assuming we are talking about a bond paying $1$ each day until $T$ or default event if occuring before $T$. Let's write the risky coupon bond payment in a continous time manner: $$\int_0^T \mathbb{1}_{\tau>t} dt$$ with ...


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TED spread 6mo chg = TED Spread{t} - TED Spread{t-6}, t := month



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