Rank: 4514 based on 26 downloads (last 30 days) and 1 file submitted
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Gabo

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10 Mar 2010 Screenshot Fitting Survival Probability Models Companion code for "Fitting Survival Probability Models" article. Author: Gabo credit default swaps, cds, wilmott, credit risk, credit derivatives, default probability 26 3
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03 Jan 2014 Fitting Survival Probability Models Companion code for "Fitting Survival Probability Models" article. Author: Gabo Yu

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....

02 Jan 2014 Fitting Survival Probability Models Companion code for "Fitting Survival Probability Models" article. Author: Gabo Yu

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

11 Feb 2011 Fitting Survival Probability Models Companion code for "Fitting Survival Probability Models" article. Author: Gabo Johnny

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

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