Validation of default probability/hazard rate functionality in QuantLib
Posted by
Don Stewart-3 on
May 24, 2010; 4:47pm
URL: http://quantlib.414.s1.nabble.com/Validation-of-default-probability-hazard-rate-functionality-in-QuantLib-tp960.html
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.
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