CreditCurveBond




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CapeTools Credit Curves function list

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Creates a credit default curve from an array of Corporate Bonds.

This curve should be used in order to retrieve risky discount factors.

The curve itself can take the place of a YieldCurve object, however the forward rates, discount factors and zero rates are regarded as risky forward rates, discount factors and zero rates.

Can also be used to price market instruments, deposits, futures, FRAs, CMS and Swap rates.

It is advisable to populate the credit curve with values past the end point of the deals you will be pricing.



This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "MBPC_LP"



Note: Within Excel, the function is named - CT.CRV.CreditCurveBond


High level graphic of CreditCurveBond() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  1. Key parameter

    Key value to use as a handle for the created object
  2. Reload parameter

    When creating this object for the first time, set this parameter to a positive value. Within Excel, when re-computing a worksheet where you do not wish to recreate the object, set this parameter to zero (0).
  3. CurveName parameter

    A tag used to identify this curve (case insensitive) if placed within either a CreditCurve or a Yieldcurve collection ( via the GroupedCDSCurves() or GroupedCurves() functions ). If you pass in an empty string, it will default to the name of the 'Key' parameter.
  4. BNDBookKey parameter

    Key Handle to an already constructed Bond Portfolio object.
  5. DefaultFreq parameter

    The frequency of default within the bond's coupon paying period. Can use any of the Frequency codes contained within the 'CapeTools Frequency Enums' category of functions.
  6. PayFaceAndAccured parameter

    On default, do we pay the face value and the accrual? Or do we pay the dirty price of the Bond?
  7. RecoveryRates parameter

    A two column range of Recovery Rates. The first column is for the bond principal and the second for the bond coupons. Each row corresponds to a bond within the Bond Portfolio object ('BNDBookKey' parameter).
  8. DayCount parameter

    DayCounter to use
  9. YCKey parameter

    Key to an already constructed YieldCurve object. This curve should represent the risk-free curve.
  10. InterpMethod parameter

    Interpolation methodology to utilise when interpolating the probability curve. Possible values are : 'BackStep', (for a flat interpolation in the backwards direction), 'ForwardStep', (for a flat interpolation in the forwards direction), 'Linear', 'LogLinear' or 'Cubic' (for Cubic-Spline).
  11. Extrapolate parameter

    Whether the default probability Curve data should be extrapolated if a calculation request that uses a date that is beyond the end date of the Curve (ie - a request for an 40 year probability, but the curve is only built up to 30 years.) If false an error will be returned. This setting is set globally for the whole curve. It is advisable to populate the credit curve with values past the end point of the deals you will be pricing.


Extended information

Function Syntax

VB Syntax 


String CTCreditCurves.CreditCurveBond( _
String Key, _
Long Reload, _
String CurveName, _
String BNDBookKey, _
FreqEnum DefaultFreq, _
Boolean PayFaceAndAccured, _
Variant RecoveryRates, _
DayCountEnum DayCount, _
String YCKey, _
InterpEnum InterpMethod, _
Boolean Extrapolate)


Excel Spreadsheet Syntax 


=CT.CRV.CreditCurveBond(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell CurveName,
Excel String Cell BNDBookKey,
Excel String Cell DefaultFreq,
Excel Boolean Value Cell PayFaceAndAccured,
XLRange RecoveryRates,
Excel String Cell DayCount,
Excel String Cell YCKey,
Excel String Cell InterpMethod,
Excel Boolean Value Cell Extrapolate)


C++ Syntax 


static std::string CreditCurveBond(
std::string Key,
long Reload,
std::string CurveName,
std::string BNDBookKey,
FreqEnum DefaultFreq,
bool PayFaceAndAccured,
CTRangeDataCPP RecoveryRates,
DayCountEnum DayCount,
std::string YCKey,
InterpEnum InterpMethod,
bool Extrapolate);


DotNET Syntax 


System.String CTCreditCurvesSA.CreditCurveBond(
System.String Key,
System.Int32 Reload,
System.String CurveName,
System.String BNDBookKey,
CTIEnums.FreqEnum DefaultFreq,
System.Boolean PayFaceAndAccured,
CTRangeData RecoveryRates,
CTIEnums.DayCountEnum DayCount,
System.String YCKey,
CTIEnums.InterpEnum InterpMethod,
System.Boolean Extrapolate);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
CurveNameStringFALSE
BNDBookKeyStringTRUE
DefaultFreqFreqEnumFALSE
PayFaceAndAccuredBooleanFALSE
RecoveryRatesRangeFALSE
DayCountDayCountEnumFALSE
YCKeyStringTRUE
InterpMethodInterpEnumFALSE
ExtrapolateBooleanFALSE

Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
KeyFALSEMyCreditCurveBond
ReloadFALSE1
CurveNameTRUEMyCreditCurveBond
BNDBookKeyFALSEBNDBookKeyNAME.EXTTAG.TICKER (from a function call)
DefaultFreqFALSEM
PayFaceAndAccuredFALSEfalse
RecoveryRatesFALSECreditCurveBond_RecoveryRates_Range (creates a range object)
DayCountFALSEACT365F
YCKeyFALSEYCKeyNAME.EXTTAG.TICKER (from a function call)
InterpMethodFALSELinear
ExtrapolateFALSEtrue


Example range for parameter : RecoveryRates

Within Excel, a range such as this can be passed directly into the RecoveryRates parameter.

0.40.0
0.40.0
0.40.0
0.40.0
0.40.0
0.40.0
0.40.0
0.40.0
0.40.0
0.40.0

Example C# API usage for setting the range data for parameter : RecoveryRates 


CTQL.CTRangeData CreditCurveBond_RecoveryRates = new CTQL.CTRangeData();

System.Text.StringBuilder CreditCurveBond_RecoveryRates_builder =
new System.Text.StringBuilder(100);

CreditCurveBond_RecoveryRates_builder.Append("{");
CreditCurveBond_RecoveryRates_builder.Append("0.4	 | 0.0 ;");
CreditCurveBond_RecoveryRates_builder.Append("0.4	 | 0.0 ;");
CreditCurveBond_RecoveryRates_builder.Append("0.4	 | 0.0 ;");
CreditCurveBond_RecoveryRates_builder.Append("0.4	 | 0.0 ;");
CreditCurveBond_RecoveryRates_builder.Append("0.4	 | 0.0 ;");
CreditCurveBond_RecoveryRates_builder.Append("0.4	 | 0.0 ;");
CreditCurveBond_RecoveryRates_builder.Append("0.4	 | 0.0 ;");
CreditCurveBond_RecoveryRates_builder.Append("0.4	 | 0.0 ;");
CreditCurveBond_RecoveryRates_builder.Append("0.4	 | 0.0 ;");
CreditCurveBond_RecoveryRates_builder.Append("0.4	 | 0.0");
CreditCurveBond_RecoveryRates_builder.Append("}");

// Parse the string into the Range object.
CreditCurveBond_RecoveryRates.RangeFromStr( CreditCurveBond_RecoveryRates_builder.ToString() );


Example function usage


The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.


If you are accessing this functrion via the MiniXL libraries, this function is present within the CT.QL.Curves20 MiniXL Excel Addin.

Within our Excel Example Addin Generator, we have used the following QuantTools sub-functions in order to prepare the arguments needed to call the CreditCurveBond() function. If you are executing this function via the MiniXL libraries, the module addin name, (in brackets, to the right of the sub-functions listed below), indicates the MiniXL library in which the sub-function is held. You will need to load this library into your Excel session (along with any other libraries that the sub-function call within the addin requires (ie - CT.QT.Utils20 addin in almost all cases) in order for the example to compute successfully.

These are the financial QuantTools sub-function calls that are used within the examples :





The objects generated by these sub-functions are inter-connected in the following way :




The following four examples demostrate calling this function within a Microsoft .NET environment

The following four examples demostrate calling this function within a non .NET environment

The following is a sample output from executing the CreditCurveBond() function call


MyCreditCurveBond_1.MBPC_LP.0

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