Time-To-Default Copula V 3. Engine

The Time to Default Copula Add-In Engine Version 3.2 includes the following enhancements:

1. Security: Following Requests the Add-In comes with and without a Verisign Authentication/ Security Certificate
   
   
   Office 2003/2007 Users: You must first install the PKCS Certificate  before loading the Time-To-Default C++ Add-In.
   
   





2. Credit Curves: The Credit Curve Add-In is now part of Time-To-Default Engine. You can therefore define Defaults (EDF), Marginal Conditional Defaults, Survivals and Cumulative Hazards in the Credit-Curve Data Source


Credit-Curve Layout:

	Name  Type
	TimeLine
	Data	
	

Example:

Curve1 Hazard 0 1 2 3 4 5 0.0 .011 .012 .013 .014 .015

Notes:

• Time 0 is optional.

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).





3. Gaussian - Normal Mixture - Student T Distributions. Version 3 covers both Gaussian and Student-T copulas. the Distribution Type: "NORMAL","NORMALMIXTURE" or "STUDENT-T" and Degrees of Freedom for Normal Mixture or Student
   

   Type Keyword	Type Id	Accepted Type Description
   NORMAL	[0]	The Mutivariate Normal Distribution.
   T-POLAR	[1]	The Multivariate Student-T distribution with Polar Samples.
   T-CHI	[2]	The Multivariate Student-T distribution with Gamma Chi Samples.

   
   
   
   
   
4. Excel Functionality: XLOPER Streams are now part of the Engine. This means you can now select a Range or a File Name directly or indirectly for the three Data Source. Example:
   If Range A1:C3 is saved into the (Tab/Space separated) file  c:/creditcurve.txt
   
   

   	A	B	C
   1	curve1	hazard
   2	0	1	2
   3	-	0.0101	0.0102

   
   
   Then  the Credit Curve argument data can be invoked as a file or a range.
   Hence calling
   =SimulateTimeToDefaultDistribution(..,...,.A1:C3,......)
   or
   =SimulateTimeToDefaultDistribution(..,...,"c:creditcurve.txt",......)
   or
   =SimulateTimeToDefaultDistribution(..,...,D1,......) where D1 contains c:/creditcurve.txt
   
    are strictly equivalent.
   Notes:
   1. Files can be referenced from other computers that are available on your network(s).
   2. Named ranges have not been implemented.
   
   
   

   Argument Name	Description
   Credit Curve	the Default or Marginal Conditional Probability, Hazards, cumulative Hazard or Survival Rates over over time .
   Obligors	The Asset/Obligor Definition. binds Credit Curves and Asset Correlations.
   Obligor Correlations	The Asset/Obligor correlations.