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CreditCurve_BootstrapFailureDefaultDensityCubic

BUG
When the modelled quantity is set to Default Density and the interpolation method to Cubic the iterative bootstrapping may fail. As a result, functions that calculate the survival probability or other implied quantities may also fail.

Click on
download to download an xml file that contains an Excel formula that demonstrates this issue.

You may then reproduce the issue in spreadsheet by clicking on Go -> Load Excel Formula from XML or one of its variations and choose the xml file downloaded in the step above.