CapeTools Credit Transition Matrix
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In total there are 9 functions present within the CapeTools Credit Transition Matrix category of functions.
General Description
These functions create and queries credit transition matrix objects. The entries within the credit transition matrix represent one-year ratings migration probabilities with the last column/row representing the default probabilities. Each row within the matrix should sum to 100.
Function list.
- CTMProbCurve - Computes and returns the default probability curve for a particular rating (one stored within the 'Headers' parameter) and a list of time points.
- CTMProbCurve2 - Computes and returns the default probability curve for a particular rating (one stored within the 'Headers' parameter) and a list of dates.
- CTMProbCurve3 - Computes and returns the default probability curve for a particular rating (one stored within the 'Headers' parameter) and a list of Tenors.
- CTMProbTable - Computes and returns the default probability curves for all the ratings ('Headers' parameter of the CreditTransMatrix() function) and a list of time points.
- CTMProbTable2 - Computes and returns the default probability curves for all the ratings ('Headers' parameter of the CreditTransMatrix() function) and a list of dates.
- CTMProbTable3 - Computes and returns the default probability curves for all the ratings ('Headers' parameter of the CreditTransMatrix() function) and a list of Tenors.
- CreditMatrixHeaders - Returns the array of Headers within a Credit Transition Matrix object.
- CreditTransMatrix - Creates a Credit Transition Matrix object.
- DisplayCreditMatrix - Displays the one year Credit Transition Matrix object.
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