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

[Philippe H. <phi...@ex...>]

Thanks.
Is there a Python interface to the ORE extension?

Philippe Hatstadt


On Thu, Jul 22, 2021 at 11:30 AM <mat...@gm...> wrote:

> Hello,
>
>
>
> The latter exists in ORE/qle to some extent:
> https://github.com/OpenSourceRisk/Engine/blob/347f7d81b1991b5b88522e6e4793e82ddfe9be09/QuantExt/qle/pricingengines/discountingriskybondengine.cpp#L35
>
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> Would be interested in the former as well – esp. methodology and how to
> choose the appropriate bonds.
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> Best regards,
>
>
>
> Matthias
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>
>
> *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
>
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>
>
>

-- 








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