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updated 6 months ago

Li's Copula model for CDS and CDO default intensities and loss function by Francesco Da Vinci

Copula functions for credit loss distribution and default intensities of CDS (cds, cdo, loss distribution)

LiG=LiGaussian(Not, Rho, RR, Times,h, numbofsimulations)

LiGSeller=LiGSeller(Rho, RR, Times,h, numbofsimulations)

LiStudent(Not, Rho, RR, Times,h, numbofsimulations,df)

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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)


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updated 2 years ago

priceF2DCDS by mono

This function performs a pricing strategy for a First to Default Credit Default Swap (CDS). (portfolio pricing, credit risk, first to default cred...)


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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)


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updated almost 5 years ago

Fitting Survival Probability Models by Gabo

Companion code for "Fitting Survival Probability Models" article. (credit default swaps, cds, wilmott)




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updated almost 9 years ago

Canonical Signed Digits by Patrick Moran

Generates a CSD representation of a floating point number. (filter design, filter analysis, canonical signed digi...)

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updated almost 10 years ago

Library Management using GUI by Prakash Vijapur

Library for storing books and cds. (example, application, library)

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