Fairmat repository1.9
Version date22.05.2014
Documentation View

Jarrow Lando Turnbull

License: Commercial
Author: Fairmat srl

This plug-in implements the Jarrow-Lando-Turnbull (JLT) model which may be used to price bonds with default risk, i.e., bonds for which there is the possibility that the issuer does not honour the schedule of payments. From risky zero coupon bond prices, one can calculate credit spreads. JLT is a reduced-form model, i.e., it models the credit migration process (which is the driver of the credit risk) through a Markov Chain with the default state being absorbing.

Tags: Defaultable bonds, risky bonds, credit migration model
Downloads: 180