Conditional Default Probability - CDS

amitk · January 7th, 2008, 1:24 pm

Hi I have constructed a spreadsheet for bootstrapping SurvivalProbability from CDS spreads based On Lehman Brothers paper"Valuation of Credit Default Swaps" Dominic OKane and Stuart Turnbull, April 2003This link has my spreadsheet;http://www.quantcode.com/modules/docman ... _dir=17Now I am trying to work out C++code for the same. What level of frequency (monthly,quarterly) is generally appropriate on the PV_ProtectionLeg?Also, is there any Non-Liner Solver class library I could re-use for equating PV_ProtectionLeg with PV_PremiumLeg?any help ??

ariliveitup · January 7th, 2008, 1:53 pm

Check out the following 2 links:http://www.wilmott.com/messageview.cfm? ... e.net/What level of frequency (monthly,quarterly) is generally appropriate on the PV_ProtectionLeg?* In the market, generally payments are made quarterly. If you are selling protection, you can expect to receive the payments quarterly.Also, is there any Non-Liner Solver class library I could re-use for equating PV_ProtectionLeg with PV_PremiumLeg?* Not sure of this one, check out the 2 links above.

amitk · January 8th, 2008, 3:55 am

Thanks a lot!shall check out the links

lixek14 · June 21st, 2010, 5:27 pm

Hi,Can you tell me how you used Hull-White CDS model to back out hazard rates. I also try to use HW model to extract default probabilities with reverse engineering the formula and need some help in calculating [u(t)+e(t)] part of the formula. Thanks in advance.