www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/DeterminePriceCreditDefaultSwapExample.m

    %% Determine the Price For a Credit Default Swap
% This example shows how to use |cdsprice| to compute the clean price for a CDS
% contract using the following data.
%%

% Copyright 2015 The MathWorks, Inc.

Settle = '17-Jul-2009'; % valuation date for the CDS
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(Settle,360*Zero_Time,1);
ZeroData = [Zero_Dates Zero_Rate];
 
ProbData = [daysadd(datenum(Settle),360,1), 0.0247];
Maturity = '20-Sep-2010';
ContractSpread = 135;
 
[Price,AccPrem] = cdsprice(ZeroData,ProbData,Settle,Maturity,ContractSpread)