Individual Credit Curve Data Layout

The engine accepts both industry standards. You can thus define a Credit Curve as  TAB/CSV separated. format
or as a series of  Name Value Pairs.

For Further Details see Date Files Horizontal Curves or Entity Based Curves.


The Credit Curve Format is defined accordingly:
Every row that begins with # is not considered an valid row

<Curve Name> <Curve Type>
	T(1)	T(2)	T(3)	T(4)	T(..)	T(..)	T(n)
	P(1)	P(2)	P(3)	P(4)	P(..)	P(..)	P(n)

Each Curve is defined as three (3) Rows:
1st Row  Curve Name (Any String)   Curve Type
2nd Row  Credit Curve Time Vertices (Time 0 is optional) 
3rd Row  Credit Curve Probabilities.

Note:
The Time To Default Simulation module is a stripped down simplified version of the module available in Financial-Risk-Manager and Risksvr™
.
Current implementation supports HAZARD RATES, SURVIVAL RATES, EXPECTED DEFAULT FREQUENCIES/DEFAULT PROBABILITIES (EDF) & MARGINAL CONDITIONAL DEFAULT PROBABILITIES. 

You can use the Transition Converter  or  Credit-Curve Add-in  to  incorporate Transition Matrices into the calculation of Time To Default Simulaitons..

Curve Types:
Integer (standard)  or string.

Type Keyword	Type Id	Accepted Type Description
HAZARD	[1]	The Hazard Rate for each TimeLine Interval.
SURVIVAL	[2]	The Survival Probability from Time 0 to TimeLine (i).
EDF	[3]	The Default Probability from Time 0 to TimeLine (i).
MARGINAL	[4]	The Marginal Conditional or Forward No-Default Probability for Each TimeLine Interval.
CUMULATIVEHAZARD	[5 ]	The Cumulative Hazard Rate From time 0 to TimeLine (i).

example:

		EXAMPLE FILE
		curve1 Survival 1 2 3 4 5 .1 .2 .3 .4 .5