Analytics > Credit > Copula > Time-To-Default

Available Functions

Excel® Add-Ins are still, alas, the most efficient and powerful way to incorporate algorithms into Excel®.

This Credit Curve Add-In carries the following functions:

SimulateTimeToDefault

Financial Principles

Loading the Add-In with Excel 2007

To load this library double click on the Xll.
This will start Excel®, if it wasn’t already running, and will register the XLL automatically. If you follow this approach, registration is temporary. Once you quit Excel® the Add-In is unloaded.


Security Notice: Verisign Secure Authetnication Certificate

If your company only allows Add-Ins with a Security Certificate, you will need to install the PKCS certificate first.

 
To persist the Add-In so that it is available every time you load Excel®, you must load the library through the Add-In manager.
To register the library so that it is loaded the next time you open Excel®, use the Office Button  Office Button

Click on Excel Options at the Bottom of the Menu.


In The Excel Option Menu, Select Add-Ins and click on the "Manage Excel Add-Ins Go" Button and Browse to the copula_v3.xll file
and then press Done.

Excel Options


The name of the Add-In appears above in the "Active Application Add-Ins" section at the top if you already loaded the XLL in a previous session. If this is effectively the case, activate the add-in by clicking on the checkbox. If you cannot see the Add-In name displayed in the Add-In Manager list, click on Browse to select the file.

 

Loading the Add-In in previous versions of Excel

To load this library double click on the Xll. This will start Excel®, if it wasn’t already running, and will register the XLL automatically. If you follow this approach, registration is temporary. Once you quit Excel® the Add-In is unloaded.
To persist the Add-In so that it is available every time you load Excel®, you must load the library through the Add-In manager. To register the library statically, use the menu commands [Tools and then Add-Ins]. The name of the Add-In should appear in the list on the left hand side if you already loaded the XLL in a previous session. If this is effectively the case, activate the add-in by clicking on the checkbox. If you cannot see the Add-In name displayed in the Add-In Manager list, click on Browse to select the file.

Calling the Functions

As with any function available from Excel®, you can call the algorithms in this Add-In by typing = followed by the name of the function in a cell or range of cells.

A friendlier approach is to load the function via the Function Wizard. To access the function wizard from the menu commands call [Insert-and then Function]. You can also invoke the wizard from the Toolbar by clicking on the  symbol.

Realms

The Latest Add-Ins Contain the Facility to Source Data From Realms

What is a Realm ?

A Realm is a context specific source from which the engine will fetch Data.

In Excel® a Realm can be one of three sources of data:

When a Field is defined as a Realm you can either provide the data in the spreadsheet as a contiguous range of cells or you can supply the name of the Realm that you want to reference.

Note:

The data in the spreadsheet range or the file should have the same Database layout format.
Files can be generated automatically from any Databases with a Select into OUTFILE “sql” statement with tab separators or they can be generated from a spreadsheet saved as a tab separated files.