Credit Curve File
This file is the industry standard TAB separated. format.
For Further Details see Date
Files Horizontal 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 original module.
.
Current implementation only supports HAZARD RATES. If you want to
incorporate Transition Matrices, Survivals, Defaults or Marginal Conditional
Defaults you must go through the Credit-Curve Add-in in order to generate
hazards which can then be fed to the SimulateTimeToDefault function.
Curve Type:
Integer (standard) or string.
1 : Hazards.
2 : Survival.
3 : Edf.
4 : Marginal conditional.
example:
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EXAMPLE FILE |
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