I meant Y_t = int_lambda_0^lambda_t du/sqrt(u)= 2( sqrt(lambda_t) - sqrt(lambda_0) )

Thanks madmax.The problem in backing the lambdas from the survival probabilities is the floating (default) part of the CDS, since we need to integarate the default probability ( so we can't back up the lambdas analytically).

Hey Eymen,Do you have the code to do this and would you mind sharing?I need it ASAP to estimate my parameters.Help would be greatly appreciated

I have it I am not sure it is working well though.

A colleague of mine would like to read the original paper - "A theory of the term structure of interest rates" by Cox Ingersoll and Ross. Does anyone have a copy of it?Thanks

HI,chienhel, please tell your friend not to waste time on the paper. The paper is not exactly easily readable. I suggest he should pick up a stochastic book where the underlying stuff is clearly explained. i don't know about others,but i found almost all the interest rate models easy reading after i revised the stochastic stuff. hey, it is natural that the models are difficult. think of all the maths that have been developed till now. Someone was going to apply the maths to finance someday...i believe more complicated models have already been developed and being applied..when they will be made public is anybodiy's guess..apologies for rattling this thought...no relevance to the thread though.. for people who are interested in living with finance or rather making living out of interest rate derivatives, I strongly suggest two models,LGM and BGM...drop everything else...I would be mighty obliged is given some useful stuff by MADMAX.cheers...