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)