|

Tools

|

Analytics

|

Risk-Engine

|

Technology

|

Data

|

	Copula 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 2007 and above Only [.xlsx] Download Copula V12 Works with Office 2007 and above Only msi installation package does: Installs Copula.v12.xll in your Microsoft dedicated AddIn folder [*]. Creates shortcut on your desktop so you can "double click"  to load. Copies help files, documentation and example application spreadsheet in dedicated folder.   Robust uninstall on demand. We still provide each component individually for those who prefer manual installation. This XLL version allows > 1Mio simulation runs on .xlsx spreadsheets. This add-In is developed with the latest Add in SDK [V12] and only works on Excel 12 and above [Office 2007, Office 2010, ...] Need Help with Copula Application ? Getting Data Corrupt Messages ?   Download Original Copula Zip File 65356 Max Simulations. ALL Excel(R) Versions [.xls] past and present. This AddIn is developed with previous Excel SDK which allows a Maximum of 65355 cells (2^16) .xls spreadsheet This version runs on all versions of Excel.

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-2007 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 2007 and Above ONLY Excel V12 .xlsx files > 1 Mio rows
Download		Office 2007 Add-In with PKCS Certificate		Copula V12.xll
Download		Office 2007 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

 

Download		C/C++ Add-In	Copula.xll
Download		On-Line Documentation ONLY I.E. Browsers	Copula hlp  Windows Only
Download		Excel Spreadsheet	Copula.xls
Download		Credit-Curve Example File	Credit Curve
Download		Obligor Definition Example File	Obligor
Download		Obligor Correlation Example File	ObligorCorrelation

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

 Having Problems understanding / running Copula .xlsx ?