here are 1-year Ford implied Pds (88.57 bps par and 40% recovery)(i) .013817 - based on the actual par spread formula (ii) .014762 - based on (iii) .014696 - based on as for differences between z-spread and par spread look at this doc

bootstrapping PDs from par spreads- method Irecursively solve - method II(i) calculate risky discount factors by throwing par spread over zero curve(ii) obtain PDs from is there a math link between these to approaches

did u see this crap?http://www.federalreserve.gov/boarddocs ... 1107a1.pdf

looking for free lunch google did not helpneed wizards' helpthnx

given HW tree with ratesgiven Arrow-Debreu pricespricing i-th caplet with payment at (i+1)how discount factor should be calculated?where is the current forward rate between i-th and i+1-th time steps