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	Credit Default Curve Analytics   Copula V12   Simulate Time To Default with Multivariate Normal or Student-T distribution. New Office C++ V12 AddIn.  works with Office 2012 and above only. unlimited cell range and multi-threaded. This AddIn is available as an msi deployment package due to Microsoft security policy changes   Copula   Simulate Gaussian Time To Defaults.   Credit-Curves Generate Credit Default Curves and Convert hazards or survival Probabilities to forward, cumulated or expected default probabilities. Interpolate and extrapolate defaults, hazards, survivals, etc  over different simulation horizons (continuous  or discrete).  Convert Transition Matrices into default probabilities (default mode transition).   TransitionGenerator   Transition Generator. Scale Transition Probability Matrices from one time period to another.

	Copula V3.2 C++ Add-In	Simulate Time To Default
	Gaussian & Student-T Copula  Time To Default Simulator
	Fat Tailed Student-T   Copula	Gaussian Copula

Simulate Time To Default by coupling multivariate Gaussian or Fat Tailed Student T variates to 
univariate cumulative Default Probabilities implied from the Credit-Default-Curves 

For further information see Copula Time To Default readme.

> 1Mio Simulations Office 2012 and above Only [.xlsx]

Works with Office 2012 and above Only

65356 Max Simulations. ALL Excel(R) Versions [.xls] past and present.

Security Note: If your computer is configured to only accept Secure Add-Ins,
you will need to install our Verisign PKCS Certificate before you install/ click on copula.v12.xll.

Strangely, Microsoft makes newer signed AddIns harder to use than their non-signed pre-2012 AddIns.

msi file is designed to:
- Installs Copula.v12.xll in the Microsoft dedicated AddIn folder.
- Creates a shortcut on your desktop so that you can load Copula with "double click"
- Copies help files, documentaiton and demo spreadsheet in a dedicated folder.

We still provide each component individually for those who prefer manual installation.

Download Individual Time-To-Default Copula Components:

		Description		Name
Runs on Office 2012 and Above ONLY Excel V12 .xlsx files > 1 Mio rows
Download		Office 2012 Add-In with PKCS Certificate		Copula V12.xll
Download		Office 2012 Excel Spreadsheet [.xlsx]		Copula V3.3.xlsx
Runs on all versions of Excel Max 65535 rows
Download		All Version  Add-In with PKCS Certificate		Copula V3.3.0.xll
Download		Excel Spreadsheet		Copula V3.3.0.xls
Download		On-Line Documentation		Copula.chm

Original Copula Add-In 

	Copula Add-In	Simulate Time To Default
	Gaussian Copula Time To Default Simulator

Compute Time To Default by simulating multivariate normal random variates coupled to 
univariate Cumulative Default Probabilities implied from the asset's Credit-Curves. 

For further information see Gaussian Copula Time To Default.

Download Copula Zip File

For Further information on the layout of the three external files:

Credit Curve File.
Obligor Definition File.
Obligor Correlation File.
see File Layout

Zip file includes: c++ copula.xll (Add-In), credit-curve file, obligor definition file, obligor correlation file,
spreadsheet, on-line help and Calculation Principles.

Download Individual Components:

Credit-Default-Curve Converter, Interpolator and Extrapolator.

Convert Hazards, Marginal Conditional Default Probabilities, Survival and Expected Default Probabilities 
Transform transition Matrixes into Credit Curves

For further information see Credit Default Curve EDF Document.

or credit-curve Manual Credit Curve.

Download Credit Default Curve Zip File

Zip file includes: CreditCurve.xll (Add-In), spreadsheet, on-line help and Calculation Principles.

Download Individual Components:

Transition Generator: Transition Matrix Horizon Interpolator

Convert Transition Matrices to any other Time Horizon by performing a decomposition of the non-symmetric Migration Data Matrix into  eigenvectors and eigenvalues.

Transition Matrix=VE^tV^-1

where 

V are the Eigenvectors of the Transition Matrix
E are the Eigenvalues of the Transition Matrix
E^t is the dialogonal Matrix of Eigenvalues scaled to the ratio of Original Time Period / New Transition Horizon.
V^-1 is the Inverse of the Transition Matrix Eigenvectors. 

Note:
Due to the highly unstable nature of non-symmetric matrices, the Transition Matrix might requires smoothing or  "well-conditionning". Indeed, in some rare cases, the sum of Migration for a given rating rank 
might not always sum to 100% when the horizon is below 0.25 i.e. One Quarter and less . 

Another approach covered in the Credit-Curve AddIn is to Transform the Migraiton into forward defaults (marginal conditional probabilities) by bootstrapping  and then interpolate/extrapolate the vertices according to desired simulation horizons. (Discrete, Constant)


A typical Transition Matrix is not symmetric. This requires special numerical routines.

The Transition Generator is part of the Risksvr(tm) migration module. 
The resulting Migration Ratings are linked to the Credit Spread Curve. 
Each Spread Curves is defined as a correlated term structure of vertices with a starting level, a volatility & corresponding correlations matrix as well as upper and lower boundary spread levels. 
The upper and lower spreads can be defined in three standard ways (absolute relative and proprietary) spread boundaries and can be defined at the spread vertex level, the Spread Curve level , per Currency (i.e. Across all  spread curves pertaining to the same currency) or across all spread curves. 

Users also have the possibility to select the distribution assumptions for the simulation of spread data. 
Spreads can thus be defined as absolute or relative stochastic processes with a  Lognormal, normal, t-distribution, triangular, exponential, poisson or pareto distribution




Download Transition Generator Zip File

Zip file includes: TransitionGenerator.xll (Add-In), spreadsheet, on-line help and Calculation Principles.

Download Individual Components: