Bootstrap survival probability and hazard rate

Versione 1.2.0.0 (1,29 KB) da Castor Troy
A simple script to bootstrap survival probability and hazard rate from CDS
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Aggiornato 24 feb 2014

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A simple script to bootstrap survival probability and hazard rate from CDS spreads (1,2,3,5,7,10 years) and a recovery rate of 0.4
The Results are verified by ISDA Model.
http://www.cdsmodel.com/cdsmodel/

P.S. Thank to HKMA

Cita come

Castor Troy (2025). Bootstrap survival probability and hazard rate (https://it.mathworks.com/matlabcentral/fileexchange/45589-bootstrap-survival-probability-and-hazard-rate), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2011b
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Versione Pubblicato Note della release
1.2.0.0

updated by verification by ISDA
1.1.0.0

added description of the years.
1.0.0.0