Validation of default probability/hazard rate functionality in QuantLib
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Validation of default probability/hazard rate functionality in QuantLib
 
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Hi
there,
I've exported
some credit related components such as PiecewiseDefaultCurve and
CreditDefaultSwap to QuantLibXL and used these to generate implied default
probability/hazard rates from CDS prices (I'm happy to submit this work to the
QuantLib open source code base).
I've
then validated these against data on pages123/124 from Dominic O'Kanes book
"Modelling single-name and multi-name Credit Derivatives" but get a significant
discrepancy at the short end of the hazard rate which I'm trying to explain. In
order to assist with this, has anybody validated default probability or hazard
rate functionality provided in the core QuantLib C++ component against market
observed CDS spreads ?
That is, has anybody
used QuantLib to back out implied default probability or hazard rates from CDS
prices ?
If so then I'd
appreciate getting a copy of the validation data ( CDS spreads and resulting
implied default probability/hazard rates) used.
Regards Don Stewart
This communication and any attachments contains information which is confidential and may be subject to legal privilege. It is for intended recipients only. If you are not the intended recipient you must not copy, distribute, publish, rely on or otherwise use it without our consent. Some of our communications may contain confidential information which it could be a criminal offence for you to disclose or use without authority. If you have received this email in error please notify [hidden email] immediately and delete the email from your computer. The FSA reserves the right to monitor all email communications for compliance with legal, regulatory and professional standards. This email is not intended to nor should it be taken to create any legal relations or contractual relationships. This email has originated from The Financial Services Authority (FSA) 25 The North Colonnade, Canary Wharf, London E14 5HS United Kingdom Registered as a Limited Company in England and Wales No.1920623. Registered Office as above Switchboard: 020 7066 1000 Web Site: http://www.fsa.gov.uk *****************************************************************
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Hi Don,
great!, I am going to be able to ditch my unsophisticated xlw functions! I have gone through the example and it looks fine. I get slightly better agreement if I set payments at the end of the period (see below the dataset for the graph on page 125) Can you send the client code pls?, or your calling it already from excel? In that case, can you match the example in the book following the code in the CDS example? Best regards Pepe Date Hazard Rate 39465 0.027156608 39711 0.027156608 39892 0.024209089 40257 0.030190831 40622 0.035778921 40988 0.041619764 41353 0.064308977 42083 0.057046987 43179 0.063072717 ----- Mail Original ----- De: "Don Stewart" <[hidden email]> À: [hidden email] Envoyé: Lundi 24 Mai 2010 18h47:35 GMT +01:00 Amsterdam / Berlin / Berne / Rome / Stockholm / Vienne Objet: [Quantlib-users] Validation of default probability/hazard rate functionality in QuantLib Hi there, I've exported some credit related components such as PiecewiseDefaultCurve and CreditDefaultSwap to QuantLibXL and used these to generate implied default probability/hazard rates from CDS prices (I'm happy to submit this work to the QuantLib open source code base) . I've then validated these against data on pages123/124 from Dominic O'Kanes book "Modelling single-name and multi-name Credit Derivatives" but get a significant discrepancy at the short end of the hazard rate which I'm trying to explain. In order to assist with this, has anybody validated default probability or hazard rate functionality provided in the core QuantLib C++ component against market observed CDS spreads ? That is, has anybody used QuantLib to back out implied default probability or hazard rates from CDS prices ? If so then I'd appreciate getting a copy of the validation data ( CDS spreads and resulting implied default probability/hazard rates) used. Regards Don Stewart [hidden email] This communication and any attachments contains information which is confidential and may be subject to legal privilege. It is for intended recipients only. If you are not the intended recipient you must not copy, distribute, publish, rely on or otherwise use it without our consent. Some of our communications may contain confidential information which it could be a criminal offence for you to disclose or use without authority. If you have received this email in error please notify [hidden email] immediately and delete the email from your computer. The FSA reserves the right to monitor all email communications for compliance with legal, regulatory and professional standards. This email is not intended to nor should it be taken to create any legal relations or contractual relationships. This email has originated from The Financial Services Authority (FSA) 25 The North Colonnade, Canary Wharf, London E14 5HS United Kingdom Registered as a Limited Company in England and Wales No.1920623. Registered Office as above Switchboard: 020 7066 1000 Web Site: http://www.fsa.gov.uk ***************************************************************** ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Validation of default probability/hazard rate functionality in QuantLib
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Hi Pepe,
Thanks for the data. I've had a brief try and can't match these numbers so suspect I'm doing something wrong when exporting QuantLib funcitonality to QuantLibXL. I'm in the process to doing further investigation. Once I've resolved the issues and got some sensible numbers I'll package up the source code changes for anybody who is interested. Give me a few days to complete this. Regards Don Stewart [hidden email] -----Original Message----- From: [hidden email] [mailto:[hidden email]] Sent: 25 May 2010 10:30 To: Don Stewart Cc: [hidden email] Subject: Re: [Quantlib-users] Validation of default probability/hazard rate functionality in QuantLib Hi Don, great!, I am going to be able to ditch my unsophisticated xlw functions! I have gone through the example and it looks fine. I get slightly better agreement if I set payments at the end of the period (see below the dataset for the graph on page 125) Can you send the client code pls?, or your calling it already from excel? In that case, can you match the example in the book following the code in the CDS example? Best regards Pepe Date Hazard Rate 39465 0.027156608 39711 0.027156608 39892 0.024209089 40257 0.030190831 40622 0.035778921 40988 0.041619764 41353 0.064308977 42083 0.057046987 43179 0.063072717 ----- Mail Original ----- De: "Don Stewart" <[hidden email]> À: [hidden email] Envoyé: Lundi 24 Mai 2010 18h47:35 GMT +01:00 Amsterdam / Berlin / Berne / Rome / Stockholm / Vienne Objet: [Quantlib-users] Validation of default probability/hazard rate functionality in QuantLib Hi there, I've exported some credit related components such as PiecewiseDefaultCurve and CreditDefaultSwap to QuantLibXL and used these to generate implied default probability/hazard rates from CDS prices (I'm happy to submit this work to the QuantLib open source code base) . I've then validated these against data on pages123/124 from Dominic O'Kanes book "Modelling single-name and multi-name Credit Derivatives" but get a significant discrepancy at the short end of the hazard rate which I'm trying to explain. In order to assist with this, has anybody validated default probability or hazard rate functionality provided in the core QuantLib C++ component against market observed CDS spreads ? That is, has anybody used QuantLib to back out implied default probability or hazard rates from CDS prices ? If so then I'd appreciate getting a copy of the validation data ( CDS spreads and resulting implied default probability/hazard rates) used. Regards Don Stewart [hidden email] This communication and any attachments contains information which is confidential and may be subject to legal privilege. It is for intended recipients only. If you are not the intended recipient you must not copy, distribute, publish, rely on or otherwise use it without our consent. Some of our communications may contain confidential information which it could be a criminal offence for you to disclose or use without authority. If you have received this email in error please notify [hidden email] immediately and delete the email from your computer. The FSA reserves the right to monitor all email communications for compliance with legal, regulatory and professional standards. This email is not intended to nor should it be taken to create any legal relations or contractual relationships. This email has originated from The Financial Services Authority (FSA) 25 The North Colonnade, Canary Wharf, London E14 5HS United Kingdom Registered as a Limited Company in England and Wales No.1920623. Registered Office as above Switchboard: 020 7066 1000 Web Site: http://www.fsa.gov.uk ***************************************************************** ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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