Re: [Quantlib-users] Bootstrapping corporate bond hazard rate curve

[<mat...@gm...>]

Hello,

 

The latter exists in ORE/qle to some extent: https://github.com/OpenSourceRisk/Engine/blob/347f7d81b1991b5b88522e6e4793e82ddfe9be09/QuantExt/qle/pricingengines/discountingriskybondengine.cpp#L35

 

Would be interested in the former as well – esp. methodology and how to choose the appropriate bonds.

 

 

Best regards,

 

Matthias

 

 

From: Philippe Hatstadt <phi...@ex...> 
Sent: Thursday, 22 July, 2021 15:15
To: QuantLib users <qua...@li...>
Subject: [Quantlib-users] Bootstrapping corporate bond hazard rate curve

 

Does QL have any routines to bootstrap a hazard rate curve from a set of increasing maturity corporate bonds? I am sure that capability exists for CDS, but wondering if it exists for bonds. A related question (or dependency really) is whether there exists a method to price a corporate bond from a hazard rate curve and a fixed recovery rate?

 

Regards




Philippe Hatstadt

 

 

 

Broker-Dealer services offered through Exos Securities LLC, member of  <http://www.sipc.org/> SIPC /  <http://www.finra.org/> FINRA / BrokerCheck  <https://brokercheck.finra.org/> / 2021 Exos, inc. For important disclosures, click here <https://www.exosfinancial.com/general-disclosures> .