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

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

Not straightforward, but there is this: OpenSourceRisk/ORE-SWIG (github.com) <https://github.com/OpenSourceRisk/ORE-SWIG> 

 

Cannot immediately verify whether the risky bond engine is included or not (first glance looks like a “not”).

 

 

KR

Matthias

 

From: Philippe Hatstadt <phi...@ex...> 
Sent: Thursday, 22 July, 2021 17:44
Cc: QuantLib users <qua...@li...>
Subject: Re: [Quantlib-users] [EXT] RE: Bootstrapping corporate bond hazard rate curve

 

Thanks.

Is there a Python interface to the ORE extension?




Philippe Hatstadt

 

 

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

 

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... <mailto:phi...@ex...> > 
Sent: Thursday, 22 July, 2021 15:15
To: QuantLib users <qua...@li... <mailto: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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