RATE yield curve model Excel Spreadsheets Yield Curves Glossary Contact Us
|
MARTINGALE
PROBABILITIES OF DEFAULT
|
|
Abukar
M Ali
|
| Model Description: |
| A spreadsheet that demonstrates risk-neutral default probabilities when pricing bonds with embedded options. We illustrate the Martingale pricing process under certain assumptions. |
| The user inputs the bond parameters and an assumed recovery rate for each bond. |
| The spreadsheet computes the default probability. |
| The accompanying spreadsheet
illustrates in simple
terms how the risk-neutral
probabilities are obtained. |
RATE yield curve model Excel Spreadsheets
© YieldCurve.com
Disclaimer
sitenotes web design