File Exchange

image thumbnail

Fitting Survival Probability Models

version 1.0.0.1 (6.54 KB) by

Companion code for "Fitting Survival Probability Models" article.

3 Downloads

Updated

View License

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).

Comments and Ratings (3)

Yu

Yu (view profile)

good file, well, there is a tiny mistake. When trying to price the exsiting CDS contracts, the error occurs:

Error in rpv01 (line 9)
RPVDF = LIBOR.getDiscountFactors(RPV_Dates);

i.e.
All Curve Dates must be greater than or equal to Settle.

, So that, slight adjustment for the code is needed, but still very helpful....

Yu

Yu (view profile)

does any one have the paper Fitting Survival Probability Models and could share with me?

Johnny

Johnny (view profile)

Very helpful in calculating hazard probability. A very nice work.

Updates

1.0.0.1

Updated license

MATLAB Release
MATLAB 7.9 (R2009b)

Download apps, toolboxes, and other File Exchange content using Add-On Explorer in MATLAB.

» Watch video