The true price of 5 different defaultable coupon paying bonds with non-zero recovery are specified in worksheetC

a

l

i

b

r

a

t

i

o

n

Calibrationin the workbookA

s

s

i

g

n

m

e

n

t

5

_

c

d

s

.

x

l

s

x

.

Assignment5_cds.xlsx.The interest rate isr

=

5

%

r=5%per annum. Calibrate the six month hazard ratesA

6

A6toA

16

A16to by minimizing theS

u

m

E

r

r

o

r

SumErrorensuring that the term structure of hazard rates are non-decreasing. You can model the non-decreasing

hazard rates by adding constraints of the formA

6

A

7

,

...

,

A

15

A

16

A6A7,...,A15A16. Report the hazard rate at time0

0as a percentage.