Fitting Survival Probability Models
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This is a MATLAB(R) implementation of the ideas discussed in
Lopez-Calva, G. and K. Shea, "Fitting Survival Probability Models," WILMOTT Magazine, issue 45, pp. 16-22.
We estimate the parameters of three different survival probability models based on credit default swap (CDS) spreads. The parameters of the models are fitted using a nonlinear least-squares solver. For the standard model, a bootstrapping technique is also implemented, for comparisons. The mark-to-market (MtM) of an existing CDS contract is also calculated under the three alternative survival models. Code for a general survival model is provided, though it is not used in the main demo.
Dependencies: This demo uses functionality from the Financial Toolbox(TM), Fixed-Income Toolbox(TM) and Optimization Toolbox(TM).
Free download from Shareware Connection - This is a MATLAB(R) implementation of the ideas discussed in Lopez-Calva, G. and K. Shea, "Fitting Survival Probability Models," WILMOTT Magazine, issue 45, pp. 16-22.
Version: 1.0 | Size: 10 KB | Platform: Matlab, Scripts
Released Date: 22-02-2013 | Rating: 0 | Title: Fitting Survival Probability Models
Author Url: http://www.mathworks.com
Program Info Url: http://www.mathworks.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/26905/1/FittingSurvivalModels.zip
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