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| File Information |
| Description |
This is a MATLAB(R) implementation of the ideas discussed in
Lopez-Calva, G. and K. Shea, "Fitting Survival Probability Models," WILMOTT Magazine, issue 45, pp. 16-22.
We estimate the parameters of three different survival probability models based on credit default swap (CDS) spreads. The parameters of the models are fitted using a nonlinear least-squares solver. For the standard model, a bootstrapping technique is also implemented, for comparisons. The mark-to-market (MtM) of an existing CDS contract is also calculated under the three alternative survival models. Code for a general survival model is provided, though it is not used in the main demo.
Dependencies: This demo uses functionality from the Financial Toolbox(TM), Fixed-Income Toolbox(TM) and Optimization Toolbox(TM).
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| Required Products |
Financial Toolbox
Fixed-Income Toolbox
Optimization Toolbox
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| MATLAB release |
MATLAB 7.9 (2009b)
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| Zip File Content |
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| Other Files |
FittingSurvivalModels.m,
genHazFun.m,
license.txt,
protectLeg.m,
rpv01.m,
survProbGenHazFun.m,
survProbNelsonSiegel.m,
survProbStdModel.m,
survProbWeibull.m
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