Serving the Quantitative Finance Community
JtD spreadsheet check
Hi guys, I was wondering if any of you have a second to look at a spreadsheet with a jump-to-default analysis on a single bond and check the results. It is a very simple exercise assuming a constant hazard rate but before moving to something more complex (time-varying h or dynamic h) I wanted to double check that I am on the right track. Thanks in advance, any help will be highly appreciated.
JtD spreadsheet check
Come on guys, you can not be that busy at this time of the year!