Hello Ruben

Pls execute the function with the Quiet flag CVAS[5, 1/2, 0.4]*10^4 // Quiet

That will solve your problem.....

In[34]:= CVAS[n, fr, r_] := Module[{f, g, s}, f = TemporalData[Table[{i, survfunc[i]}, {i, 0, n, fr}]]; g = MovingMap[First[#] - Last[#] &, f, {2}]; s = (1 - r)*Sum[DF[i]*epe[i]*g["PathFunction"][i], {i, fr, n, fr}]; s];

In[39]:= CVAS[5, 1/2, 0.4]*10^4 // Quiet

Out[39]= 19.0374

Hope this helps Igor

Ruben This must be due to the data you are using. I can see that Mathematica generates negative values along the code execution, which leads to the inconsistent valuation.

Try again with my values:

zrates = {0.012, 0.015, 0.0167, 0.0176, 0.019, 0.0201, 0.0223, 0.0235};
times = {0.25, 0.5, 1, 1.5, 2, 3, 4, 5};
zrobj = TemporalData[zrates, {times}];

intrate = Interpolation[zrobj["Path"], Method -> "Spline"];

DF[x_] := Exp[-intrate[x]*x];
{dt, y, R} = {0.005, 5, 0.4};

simproc = 
  RandomFunction[
   combprc /. {\[Mu] -> 0.022, \[Sigma]1 -> 0.2, \[Theta] -> 
      0.005, \[Beta] -> 0.015, \[Sigma]2 -> 0.05, \[Rho] -> 0.5, 
     s0 -> 0.025, c0 -> 0.0125}, {0, y, dt}, 1000, 
   Method -> "StochasticRungeKutta"] ;

Exposure[T_, S_, t_, v_] := (T - t)*Max[v - S, 0];

expswap = TimeSeriesMapThread[Exposure[5, 0.025, #1, #2] &, swapproc];

eeswap = TimeSeriesThread[Mean, expswap, 
   ResamplingMethod -> Interpolation];
eehaz = TimeSeriesThread[Mean, hazrate, 
   ResamplingMethod -> Interpolation];

epe[x_] := 
  Mean[TimeSeriesWindow[eeswap, {0, Max[dt, x]}, 
    ResamplingMethod -> Interpolation]];
exphazrate[x_] := 
  Mean[TimeSeriesWindow[eehaz, {0, Max[dt, x]}, 
    ResamplingMethod -> Interpolation]];

survfunc[x_] := Exp[-exphazrate[x]*x];

CVAS[n_, fr_, r_] := 
  Module[{f, g, s}, 
   f = TemporalData[Table[{i, survfunc[i]}, {i, 0, n, fr}]];
   g = MovingMap[First[#] - Last[#] &, f, {2}];
   s = (1 - r)*Sum[DF[i]*epe[i]*g["PathFunction"][i], {i, fr, n, fr}];
   s];

As you can see, I get the following result with my values:

CVAS[5, 1/2, 0.4]*10^4

4.74152

Hello Ruben

As you can see below, the dt has actually been defined:

Swap rate & CSD joint process defintion

cW[?_]:=Refine[ItoProcess[{{0,0},IdentityMatrix[2]},{{n1,n2},{0,0}},t,{{1,?},{?,1}}],-1<?<1];

combprc=ItoProcess[
    {\[DifferentialD]s[t]==? s[t] \[DifferentialD]t+?1*s[t] \[DifferentialD]n1[t],
    \[DifferentialD]c[t]==? (?-c[t]) \[DifferentialD]t+?2*Sqrt[Abs[c[t]]] \[DifferentialD]n2[t]},
    {s[t],c[t]},{{s,c},{s0,c0}},t,{n1,n2}\[Distributed]cW[?]];

{dt,y,R}={0.005,5,0.4};