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Hazard Rate Bootstrapping

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This file bootstraps hazard rates from a series of 1/3/5/7/10-year par spreads.

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Description

This file bootstraps hazard rates from a series of 1/3/5/7/10-year par spreads. Par spreads and Libor rates are defined in the input file input.xls. The recovery rate is assumed to be 40% and can be modified.

Required Products MATLAB
MATLAB release MATLAB 7.14 (R2012a)
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