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

in the workbookAssignment5_cds.xlsx.

The interest rate isr = 5\%

r=5%per annum. Calibrate the six month hazard ratesA6

toA16

to by minimizing theSumError

ensuring 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 time0

0as 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.