Documentation

This is machine translation

Translated by Microsoft
Mouseover text to see original. Click the button below to return to the English verison of the page.

Note: This page has been translated by MathWorks. Please click here
To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

Bootstrap Default Probabilities from Bonds

Bootstrap default probability curve from bond market prices

Use bondDefaultBootstrap to extract discrete default probabilities for a certain period from market bond data. Interpolate these default probabilities to get the default probability curve for pricing and risk management purposes.

Functions

bondDefaultBootstrapBootstrap default probability curve from bond prices
Was this topic helpful?