Hazard Rate Bootstrapping
This file bootstraps hazard rates from a series of 1/3/5/7/10-year par spreads.
You are now following this Submission
- You will see updates in your followed content feed
- You may receive emails, depending on your communication preferences
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 (2026). Hazard Rate Bootstrapping (https://www.mathworks.com/matlabcentral/fileexchange/37681-hazard-rate-bootstrapping), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0.0 (8.59 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
