matlab计算信用违约掉期的按市价计算的价格

收录时间:2019-06-14
资源分类:Matlab 工具:MATLAB 7.4 (R2007a)

这个简短的例行程序计算信用违约互换的按市价计算的价格。

 

CDS pricer

This file has been updated as of 12 March. I believe it is now more accurate and more flexible, but it's still not the real thing. JPMorgan's source code has been made available at www.cdsmodel.com, I have not yet compared my implementation with theirs.

 

This program is still based on the paper by O'Kane and Turnbull (available at http://www.nuclearphynance.com/User%20Files/256/cds.pdf ). This routine prices a CDS, taking current market spreads to bootstrap survival probabilities, which imply a "risky present value". Contract details (initial spread, end date) then give the theoretical market price of the contract. The results are very similar to Bloomberg's CDSW page in simple tests.

 

The function requires the Financial Toolbox to manage dates, but if you are willing to sacrifice some accuracy this can easily be worked around.

 

Perhaps I should state that this is an analytical tool, and I am not responsible for any investment decisions made using it.

文件下载列表
cds_price.zip (2.32KB)  
附件内容
cds_price.m  
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