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Bootstrapping default intensities

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Luisa
Luisa 2011-10-31
Hi,
I'm quite a beginner with MATLAB and I'm wondering if someone can help me with this problem: I have the term structure of cds (maturities and spreads)and the term structure of zero coupon bond rates (rates and maturities)and I need to bootstrap the default intisities, which are assumed to be a deterministic function of time and piecewise constant, from a cds pricing reduced form model assuming continuous payments. What MATLAB code should I write to do this? I know there's a proper function called cdsbootstrap but unfortunately it isn't provided in the release I have.
Thanks a lot.
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bym
bym 2011-10-31
if you have the statistics toolbox you can use bootstrp()
Luisa
Luisa 2011-11-1
Isn't the bootstrap function used only to bootstrap interest rate curves? How can I use it to find default intensities given my initial inputs?

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