文件名称:hw1
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1.程式的輸入格式，如：90 88 82 80 每個數字代表各期的價錢。
2.輸入完畢之後再以enter鍵確定。
3. f[i] = 1 - ( CB[i]/TB[i] )*( 1/(1-p[i-1] ) ) 代表第i期的遠期違約機率
可以由
[1-probability of default(i-1 periods)]*[1-forward probability of defult( period i)]
=probability the corporate bond survives past time i
=price of i-period corporate zero/ price of i-period Treasury zero
推導出來
4. p[i] = 1 - ( CB[i]/TB[i] ) 代表持續i期會違約的機率
可以由
1-probability of default (1 period ) =( price of 1-period corporate zero) /( price of 1-period Treasury zero) 而衍生到各持續i期的情形.-1.程式的輸入格式，如：90 88 82 80 每個數字代表各期的價錢。
2.輸入完畢之後再以enter鍵確定。
3. f[i] = 1- ( CB[i]/TB[i] )*( 1/(1-p[i-1] ) ) 代表第i期的遠期違約機率
可以由
[1-probability of default(i-1 periods)]*[1-forward probability of defult( period i)]
=probability the corporate bond survives past time i
=price of i-period corporate zero/ price of i-period Treasury zero
推導出來
4. p[i] = 1- ( CB[i]/TB[i] ) 代表持續i期會違約的機率
可以由
1-probability of default (1 period ) =( price of 1-period corporate zero) /( price of 1-period Treasury zero) 而衍生到各持續i期的情形.
2.輸入完畢之後再以enter鍵確定。
3. f[i] = 1 - ( CB[i]/TB[i] )*( 1/(1-p[i-1] ) ) 代表第i期的遠期違約機率
可以由
[1-probability of default(i-1 periods)]*[1-forward probability of defult( period i)]
=probability the corporate bond survives past time i
=price of i-period corporate zero/ price of i-period Treasury zero
推導出來
4. p[i] = 1 - ( CB[i]/TB[i] ) 代表持續i期會違約的機率
可以由
1-probability of default (1 period ) =( price of 1-period corporate zero) /( price of 1-period Treasury zero) 而衍生到各持續i期的情形.-1.程式的輸入格式，如：90 88 82 80 每個數字代表各期的價錢。
2.輸入完畢之後再以enter鍵確定。
3. f[i] = 1- ( CB[i]/TB[i] )*( 1/(1-p[i-1] ) ) 代表第i期的遠期違約機率
可以由
[1-probability of default(i-1 periods)]*[1-forward probability of defult( period i)]
=probability the corporate bond survives past time i
=price of i-period corporate zero/ price of i-period Treasury zero
推導出來
4. p[i] = 1- ( CB[i]/TB[i] ) 代表持續i期會違約的機率
可以由
1-probability of default (1 period ) =( price of 1-period corporate zero) /( price of 1-period Treasury zero) 而衍生到各持續i期的情形.
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下载文件列表
HW1
...\hw1_pecu.m
...\main_pecu.cpp
...\main_pecu.exe
...\說明檔.docx
...\hw1_pecu.m
...\main_pecu.cpp
...\main_pecu.exe
...\說明檔.docx