Cdsbootstrap error message

Hi guys, I have a problem with the following code:

settle = '24-Feb-2009'; [num text raw] = xlsread('Debt analysis','cds'); spread_time = num(:,1); spread = num(:,2:end); %10x4 matrix of cds market spreads in bps (maturities are 1, 2 ,3, 4, 5, 6, 7, 8, 9, 10 year but I don'have spreads for all the maturities for some reference entity; where I don't have data there's NaN) i=find(isnan(spread)); % I replace NaN with zeros spread(i)=ones(size(i)); market_dates = daysadd(datenum(settle),360*spread_time,1); marketdata = [market_dates spread]; [num2 text2 raw2] = xlsread('Debt analysis','rates'); zero_time = num2(5:end,1); zero_time(2) = []; zero_rate = num2(5:end,2); %11x1 vector of zero risk free rates (maturities are 1, 1.5, 2 ,3, 4, 5, 6, 7, 8, 9, 10 year) zero_rate(2) = []; %I eliminate 1.5 years rate that I don't need zero_dates = daysadd(datenum(settle),360*zero_time,1); zerodata = [zero_dates zero_rate]; probdata=zeros(size(marketdata)); hazdata=zeros(size(marketdata)); for i=2:size(marketdata,2) [probdata(:,[1 i]),hazdata(:,[1 i])] = cdsbootstrap(zerodata,marketdata(:,[1 i]),settle,'ZeroCompounding',-1); end

When I run it I got the following error message: Error using ==> fzero at 283 The function values at the interval endpoints must differ in sign.

Error in ==> cdsbootstrap at 305 bnew = fzero(errorFun,[0 1]);

I think the problem is due to the presence of zero as cds spread for some maturities. Is there a way to say the loop for not to perform cdsbootstrap function if one of the values in marketdata is equal to zero? Thank you in advance.

Luisa

Answer 1

[abc123 shi]

try to specify the basis option in the cdsbootstrap fun, had similar issues and this is the way I solved it. Hope it helps. Regards. (haha, just realized its 2011...long time ago)