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Credit Default Curve
Add-In
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Generate Credit Default Curves
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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: