Mathematics, 12.02.2021 22:10 EMQPWE
The true price of 5 different defaultable coupon paying bonds with non-zero recovery are specified in worksheet Calibration in the workbook Assignment5_cds. xlsx. The interest rate is r=5% per annum. Calibrate the six month hazard rates A6 to A16 to by minimizing the SumError ensuring that the term structure of hazard rates are non-decreasing. You can model the non-decreasing
hazard rates by adding constraints of the form A6≤A7,…,A15≤A16. Report the hazard rate at time 0 as a percentage.
Submission Guideline: Give your answer in percent rounded to two decimal places. For example, if you compute the answer to be 73.2367%, submit 73.24.
Answers: 3
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The true price of 5 different defaultable coupon paying bonds with non-zero recovery are specified i...
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