CapeTools Query Credit Curves
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In total there are 12 functions present within the CapeTools Query Credit Curves category of functions.
General Description
Functions to query and price basic credit default swap (CDS) derivative instruments given a credit curve.
You can execute functions to compute the fair premiums from a CDS (including Binary CDS).
You can compute risky discount factors, default probabilities, default densities, hazard rates and survival probabilities.
Function list.
- BinaryCDSwap - Computes the premium on a binary credit default swap.
- CDSCurveHazardRates - Returns an array of hazard rates defined by the credit default curve.
- CDSCurveProbDensity - Returns an array of the default density curve defined by the credit default curve.
- CDSCurveProbs - Returns an array of the default probabilities defined by the credit default curve.
- CDSCurveSurvivalProbs - Returns an array of the survival probabilities defined by the credit default curve.
- CDSHazardRate - Returns the hazard rate for the specified date.
- CDSProbDensity - Returns the default density for the specified date.
- CDSProbability - Returns the default probability for the specified date.
- CDSRiskFreeDCF - Returns the risk free discount factor from the given credit default curve.
- CDSRiskyDCF - Returns the risky discount factor from the given credit default curve.
- CDSSurvivalProb - Returns the survival probability at the specified date.
- CDSwap - Computes the premium on a credit default swap.
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