Hazard Rate Bootstrapping

Version 1.0.0.0 (8.59 KB) by Vilen Abramov
This file bootstraps hazard rates from a series of 1/3/5/7/10-year par spreads.
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Updated 31 Jul 2012

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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.

Cite As

Vilen Abramov (2024). Hazard Rate Bootstrapping (https://www.mathworks.com/matlabcentral/fileexchange/37681-hazard-rate-bootstrapping), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
1.0.0.0