Clear Filters
Clear Filters

Bootstrapping default intensities

1 view (last 30 days)
Luisa
Luisa on 31 Oct 2011
Hi,
I'm quite a beginner with MATLAB and I'm wondering if someone can help me with this problem: I have the term structure of cds (maturities and spreads)and the term structure of zero coupon bond rates (rates and maturities)and I need to bootstrap the default intisities, which are assumed to be a deterministic function of time and piecewise constant, from a cds pricing reduced form model assuming continuous payments. What MATLAB code should I write to do this? I know there's a proper function called cdsbootstrap but unfortunately it isn't provided in the release I have.
Thanks a lot.
  2 Comments
bym
bym on 31 Oct 2011
if you have the statistics toolbox you can use bootstrp()
Luisa
Luisa on 1 Nov 2011
Isn't the bootstrap function used only to bootstrap interest rate curves? How can I use it to find default intensities given my initial inputs?

Sign in to comment.

Answers (0)

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!