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	Credit Default Curve Analytics   Copula Office 2012   Latest version. Designed to run with latest .xlsx files to allow 1 Mio Simulaiton runs.   Copula V3.2.1   Version 3.2 now includes four improvements: Additional distributions, Credit-Curve Types, Excel Usability and Excel Security   Copula : Simulate Gaussian Time To Defaults.   CreditCurves : Generate Credit Default Curves and Convert hazards or survival Probabilities to forward, cumulated or expected default probabilities. Interpolate and extrapolate defaults, hazards, survivals, etc  over different simulation horizons (continuous  or discrete).  Convert Transition Matrices into default data.   TransitionGenerator  :  Transition Generator. Scale Transition Probability Matrices from one time period to another.

	Copula V3.2 C++ Add-In	Simulate Time To Default
	Gaussian & Student-T Copula  Time To Default Simulator
	Fat Tailed Student-T   Copula	Gaussian Copula

Compute Time To Default by simulating multivariate Gaussian or Fat Tailed Student T variates coupled to 
univariate cumulative Default Probabilities implied from the asset's Credit-Curves. 

Version 3.2 Includes four improvements:

1. Extended Credit Curve Integration
2. Additional Distribution: T-Distribution T-Polar and T-CHI.
3. Functionality: Data Sources can be defined as Ranges or Files
4. Security: Secure Authentication Certificates

For further information see Copula Time To Default V.3.2.

> 1Mio Simulations Office 2012 and above Only [.xlsx]

65356 Max Simulations. ALL Excel Versions [.xls] Office 2012 and above Only [.xlsx]

Security Note: If your computer is configured to only accept Secure Add-Ins,
you will need to install our Verisign PKCS Certificate before you install/ click on copula_v3.xll.

Zip file includes: c++ copula_v3.xll (Add-In), spreadsheet, on-line html help and Calculation Principles.

Download Individual Time-To-Default V3.2 Components:

		Description		Name
Runs on Office 2012 and Above ONLY Excel V12 .xlsx files > 1 Mio rows
Download		Office 2012 Add-In with PKCS Certificate		Copula 2012.xll
Download		Office 2012 Excel Spreadsheet [.xlsx]		Copula V3.2.xlsx
Runs on all versions of Excel Max 65535 rows
Download		All Version  Add-In with PKCS Certificate		Copula V3.2.xll
Download		On-Line Documentation		Copula V3.2 chm
Download		Excel Spreadsheet		Copula V3.2.xls

Original Copula Add-In 

	Copula Add-In	Simulate Time To Default
	Gaussian Copula Time To Default Simulator

Compute Time To Default by simulating multivariate normal random variates coupled to 
univariate Cumulative Default Probabilities implied from the asset's Credit-Curves. 

For further information see Gaussian Copula Time To Default.

Download Copula Zip File

For Further information on the layout of the three external files:

Credit Curve File.
Obligor Definition File.
Obligor Correlation File.
see File Layout

Zip file includes: c++ copula.xll (Add-In), credit-curve file, obligor definition file, obligor correlation file,
spreadsheet, on-line help and Calculation Principles.

Download Individual Components:

Credit Default Curve Generator, 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:

Transition Generator.

Convert Transition Matrices to any other Time Horizon by performing a decomposition of the non-symmetric Migration Data into  eigenvectors and eigenvalues.

T=VE^tV^-1

where 

V are the Eigenvectors of the Transition Matrix
E are the Eigenvalues of the Transition Matrix
E^t is the dialogonal Matrix of Eigenvalues scaled to the ratio of Original Time Period / New Transition Horizon.
V^-1 is the Inverse of the Transition Matrix Eigenvectors. 

Note:
Due to the highly unstable nature of some non-symmetric matrices, the Transition Matrix might requires smoothing or minute changes. Indeed, in some cases, the sum of Migration Probabilities for a given rating rank 
is not always 100% when the original matrix was. 
This problem seems to appears when the horizon is short (i.e. One Quarter and less) . 

Another approach is to Transform the Transition into forward defaults (marginal conditional probabilities). 
which also tends to assumes migration remains constant, which is not what can be observed in practice.
and then interpolate the vertex according to assumptions. (Piecewise linear, Constant, etc)

The Transition Matrix is not symmetric and thus requires special numerical techniques.

The Transition Generator is part of the Risksvr(tm) migration module. 
The resulting Migration Ratings are linked to the Credit Spread Curve. 
Each Spread Curves is defined as a correlated term structure of vertices with a starting l vel, a volatility & correlations and upper and lower boundary levels. 
The upper and lower spreads can be defined in three standard ways (absolute relative and proprietary) spread boundaries and can be defined at the spread vertex level, the Spread Curve level or per Currency. 
Users also have the possibility to select the distribution assumptions for the simulation of spread data. 
Spreads can thus be defined as absolute or relative stochastic processes with a  Lognormal, normal, t-distribution, triangular, exponential, poisson and pareto distribution




Download Transition Generator Zip File

Zip file includes: TransitionGenerator.xll (Add-In), spreadsheet, on-line help and Calculation Principles.

Download Individual Components: