Bootstrap default probability curve from credit default swap market quotes
[ProbData, HazData] = cdsbootstrap(ZeroData, MarketData,
Settle)
[ProbData, HazData] = cdsbootstrap(ZeroData, MarketData,
Settle, Name,Value)
[ProbData, HazData] = cdsbootstrap(ZeroData, MarketData,
bootstraps the default probability curve
using credit default swap (CDS) market quotes. The market quotes can
be expressed as a list of maturity dates and corresponding CDS market
spreads, or as a list of maturities and corresponding upfronts and
standard spreads for standard CDS contracts. The estimation uses the
standard model of the survival probability.
Settle)
[ProbData, HazData] = cdsbootstrap(ZeroData, MarketData,
bootstraps
the default probability curve using CDS market quotes with additional
options specified by one or more
Settle, Name,Value
)Name,Value
pair
arguments. The market quotes can be expressed as a list of maturity
dates and corresponding CDS market spreads, or as a list of maturities
and corresponding upfronts and standard spreads for standard CDS contracts.
The estimation uses the standard model of the survival probability.





Settlement date is a serial date number or date character vector.
This must be earlier than or equal to the dates in 
Specify optional commaseparated pairs of Name,Value
arguments.
Name
is the argument
name and Value
is the corresponding
value. Name
must appear
inside single quotes (' '
).
You can specify several name and value pair
arguments in any order as Name1,Value1,...,NameN,ValueN
.
Note:
Any optional input of size 

For more information, see basis. Default:  

Business day conventions, specified by a character vector or
Default:  

Default:  

Default:  

Default: Column of dates in  

Default:  

Positive integer indicating the number of days to take as time step for the numerical integration. Default:  

Basis of the zero curve. Choices are identical to Default:  

Compounding frequency of the zero curve. Allowed values are:
Default: 

 


Beumee, J., D. Brigo, D. Schiemert, and G. Stoyle. "Charting a Course Through the CDS Big Bang." Fitch Solutions, Quantitative Research, Global Special Report. April 7, 2009.
Hull, J., and A. White. "Valuing Credit Default Swaps I: No Counterparty Default Risk." Journal of Derivatives. Vol. 8, pp. 29–40.
O'Kane, D. and S. Turnbull. "Valuation of Credit Default Swaps." Lehman Brothers, Fixed Income Quantitative Credit Research, April 2003.