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updated 11 months ago

Bootstrap survival probability and hazard rate by Castor Troy

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 1 year ago

Predictive model calibration by Michael Weidman

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

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

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

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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