CapeTools Credit Curves
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In total there are 3 functions present within the CapeTools Credit Curves category of functions.
General Description
Given a risk-free curve (most of the curves stripped from the 'CapeTools Curves', 'CapeTools XCCY Curves' or 'CapeTools Bond Curves' category of functions) we can produce a risky curve. A risky curve has additional information regarding default probabilities and thus specific to a single organisation (or sector). A risky curve can be treated as a regular yieldcurve and can be passed to all instruments that require discounting curve. Risky discount factors will be used to discount the cashflows as opposed to the risk-free discount factors.
These risky-curves also serve as inputs to the credit derivative functions.
Function list.
- CreditCurveBond - Creates a credit default curve from an array of Corporate Bonds.
- CreditCurveCDS - Creates a credit default curve from credit default spreads (spreads are entered in percent).
- CreditCurveRaw - Creates a credit default curve from an array of default probabilities.
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