Question
Q 4 The true price of 5 different defaultable coupon paying bonds with non-zero recovery are specified in worksheetCalibrationin the workbook. https://d396qusza40orc.cloudfront.net/flex-fe1/class_resources/Assignment5_cds.xlsx The interest rate
Q 4 The true price of 5 different defaultable coupon paying bonds with non-zero recovery are specified in worksheetCalibrationin the workbook.
https://d396qusza40orc.cloudfront.net/flex-fe1/class_resources/Assignment5_cds.xlsx
The interest rate isr=5%per annum. Calibrate the six month hazard ratesA6toA16to by minimizing theSumErrorensuring that the term structure of hazard rates are non-decreasing. You can model the non-decreasing
hazard rates by adding constraints of the formA6A7,...,A15A16. Report the hazard rate at time0as a percentage.
Submission Guideline:Give your answer inpercentrounded to two decimal places. For example, if you compute the answer to be 73.2367%, submit 73.24.
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Applied Equity Analysis and Portfolio Management Tools to Analyze and Manage Your Stock Portfolio
Authors: Robert A.Weigand
1st edition
978-111863091, 1118630912, 978-1118630914
