CreditCurveRaw




http://www.QuantTools.com
CapeTools Credit Curves function list

Welcome | Documentation format | QuantTools Groups | QuantTools Categories | Licence

Key TAGs | Excel Index | API Index


Creates a credit default curve from an array of default probabilities.

This curve will interpolate on the DEFAULT PROBABILITIES.

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.

This function requires the input of a IndexKey template object key, which must have been produced via a call to CreateDepoTemplate(). This function would have returned a string 'KEY' which is to be passed to the 'DepoIndex' parameter of this function.

This function requires the input of a SWAP IndexKey template object key, which must have been produced via a call to CreateSwapTemplate(). This function would have returned a string 'KEY' which is to be passed to the 'Swap Index' parameter of this function.

This function requires the input of a Calendar object key, which must have been produced via a call to one of the Calendar creation functions present within the CapeTools Calendars category of functions.

These functions would have returned a string 'KEY' which is to be passed to the 'Cal' parameter of this function.

For the 'DayCount' and 'BusDayConv' parameters, please refer to the large number of enumeration functions present within the CapeTools Enums category of functions.

The CapeTools Enums category of functions return correct string codes that can be passed to parameters taking fixed string values defined by the library (ie - DayCount codes, frequency codes, currency codes, compounding codes, business day convention codes etc...).

You can thus execute these enumeration functions which return the proper code, instead of trying to remember the string code needed or making spelling mistakes which can be difficult to debug.

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 : "MCPC_LP"



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


High level graphic of CreditCurveRaw() 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. oTenorsVals parameter

    A 2 column range of Tenors (or Dates) and default probabilities.
  5. probType parameter

    The type of probability curve that is entered (will also be used for the underlying interpolation methodology). Valid values are 'Hazard' (for Hazard rates) or 'Density' (for default probability density).
  6. 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).
  7. DayCount parameter

    DayCounter to use
  8. Cal parameter

    Calendar to use for the adjustment of dates that lands on a holiday or weekend, if you use the EmptyCalendar() function, no adjustments will be made
  9. BusDayConv parameter

    Business Day Convention. treatment of date adjustments
  10. YCKey parameter

    Key to an already constructed YieldCurve object. This curve should represent the risk-free curve.
  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.CreditCurveRaw( _
String Key, _
Long Reload, _
String CurveName, _
Variant oTenorsVals, _
String probType, _
InterpEnum InterpMethod, _
DayCountEnum DayCount, _
String Cal, _
BDCEnum BusDayConv, _
String YCKey, _
Boolean Extrapolate)


Excel Spreadsheet Syntax 


=CT.CRV.CreditCurveRaw(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell CurveName,
XLRange oTenorsVals,
Excel String Cell probType,
Excel String Cell InterpMethod,
Excel String Cell DayCount,
Excel String Cell Cal,
Excel String Cell BusDayConv,
Excel String Cell YCKey,
Excel Boolean Value Cell Extrapolate)


C++ Syntax 


static std::string CreditCurveRaw(
std::string Key,
long Reload,
std::string CurveName,
CTRangeDataCPP oTenorsVals,
std::string probType,
InterpEnum InterpMethod,
DayCountEnum DayCount,
std::string Cal,
BDCEnum BusDayConv,
std::string YCKey,
bool Extrapolate);


DotNET Syntax 


System.String CTCreditCurvesSA.CreditCurveRaw(
System.String Key,
System.Int32 Reload,
System.String CurveName,
CTRangeData oTenorsVals,
System.String probType,
CTIEnums.InterpEnum InterpMethod,
CTIEnums.DayCountEnum DayCount,
System.String Cal,
CTIEnums.BDCEnum BusDayConv,
System.String YCKey,
System.Boolean Extrapolate);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
CurveNameStringFALSE
oTenorsValsRangeFALSE
probTypeStringFALSE
InterpMethodInterpEnumFALSE
DayCountDayCountEnumFALSE
CalStringTRUE
BusDayConvBDCEnumFALSE
YCKeyStringTRUE
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
KeyFALSEMyCreditCurveRaw
ReloadFALSE1
CurveNameTRUEMyCreditCurveRaw
oTenorsValsFALSECreditCurveRaw_oTenorsVals_Range (creates a range object)
probTypeFALSEDensity
InterpMethodFALSELinear
DayCountFALSEACT365F
CalFALSECalNAME.EXTTAG.TICKER (from a function call)
BusDayConvFALSEModifiedFollowing
YCKeyFALSEYCKeyNAME.EXTTAG.TICKER (from a function call)
ExtrapolateFALSEtrue


Example range for parameter : oTenorsVals

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

1Y0.0282True
2Y0.0428True
3Y0.0535True
4Y0.0693True
5Y0.0816True
6Y0.0935True
7Y0.1061True
8Y0.1179True
9Y0.13True
10Y0.1419True

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


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

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

CreditCurveRaw_oTenorsVals_builder.Append("{");
CreditCurveRaw_oTenorsVals_builder.Append("'1Y'	 | 0.0282	 | True ;");
CreditCurveRaw_oTenorsVals_builder.Append("'2Y'	 | 0.0428	 | True ;");
CreditCurveRaw_oTenorsVals_builder.Append("'3Y'	 | 0.0535	 | True ;");
CreditCurveRaw_oTenorsVals_builder.Append("'4Y'	 | 0.0693	 | True ;");
CreditCurveRaw_oTenorsVals_builder.Append("'5Y'	 | 0.0816	 | True ;");
CreditCurveRaw_oTenorsVals_builder.Append("'6Y'	 | 0.0935	 | True ;");
CreditCurveRaw_oTenorsVals_builder.Append("'7Y'	 | 0.1061	 | True ;");
CreditCurveRaw_oTenorsVals_builder.Append("'8Y'	 | 0.1179	 | True ;");
CreditCurveRaw_oTenorsVals_builder.Append("'9Y'	 | 0.13	 | True ;");
CreditCurveRaw_oTenorsVals_builder.Append("'10Y'	 | 0.1419	 | True");
CreditCurveRaw_oTenorsVals_builder.Append("}");

// Parse the string into the Range object.
CreditCurveRaw_oTenorsVals.RangeFromStr( CreditCurveRaw_oTenorsVals_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 CreditCurveRaw() 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 CreditCurveRaw() function call


MyCreditCurveRaw_2.MCPC_LP.0

Copyright (c) 2003-2007 CapeTools - All Rights Reserved.