www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/BootstrapProbabilityCurveFromCDSExample.m
%% Bootstrap Default Probability Curve from Credit Default Swap Market Quotes % This example shows how to use |cdsbootstrap| with market quotes for CDS contracts % to generate |ProbData| and |HazData| values. %% % Copyright 2015 The MathWorks, Inc. Settle = '17-Jul-2009'; % valuation date for the CDS Spread_Time = [1 2 3 5 7]'; Spread = [140 175 210 265 310]'; Market_Dates = daysadd(datenum(Settle),360*Spread_Time,1); MarketData = [Market_Dates Spread]; Zero_Time = [.5 1 2 3 4 5]'; Zero_Rate = [1.35 1.43 1.9 2.47 2.936 3.311]'/100; Zero_Dates = daysadd(datenum(Settle),360*Zero_Time,1); ZeroData = [Zero_Dates Zero_Rate]; format longg [ProbData,HazData] = cdsbootstrap(ZeroData,MarketData,Settle)