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updated 10 months ago

Bootstrap survival probability and hazard rate by Castor Troy

A simple script to bootstrap survival probability and hazard rate from CDS (bootstrapping, cds, hazard rate)

bootstrap_survival_probablity_and_hazard_rate.m

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updated 12 months ago

Predictive model calibration by Michael Weidman

A script exploring 3 useful concepts in predictive models (monte carlo, bootstrap, bootstrapping)

plotCalibrations(pctThresholds, calib1, calib5, calib10, ...

plotForecasts(simPrices, simStartDate, actualPrices)

CalibrationScript.m

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updated 2 years ago

Hazard Rate Bootstrapping by Vilen Abramov

This file bootstraps hazard rates from a series of 1/3/5/7/10-year par spreads. (cds, bootstrapping, pricing)

hazard

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updated 3 years ago

fftnoise - generate noise with a specified power spectrum by Aslak Grinsted

Useful helper function for Monte Carlo null-hypothesis tests and confidence interval estimation. (surrogate, noise, random)

noise=fftnoise(f,Nseries)

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updated 4 years ago

Bootstrapping Yield Curve by Rodolphe Sitter

Bootstrap the yield curve, discount curve and forward curve from bond market prices. Plot results. (bootstrap, bootstrapping, bond)

Bootstrap.m

BuildDiscountCurve(CashFlowSchedule, ForwardCurve )

BuildParYieldCurve( CashFlowSchedule, DiscountCurve )

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