Credit Curve


Credit Curve is a
direct subtype of Valuation with functions Credit Curve Functions, keys Credit Curve keys and example object CrCrv that represents what practitioners call a "credit curve", which in turn refers to the market available information about credit default probabilities for all maturities.
The credit curve is required in the pricing of those derivatives that are sensitive to the event of default of one or more issuers.
Its purpose is to provide the market-implied
survival probability for a particular issuer during any requested future time interval that is compatible with a given set of market inputs.
Certain assumptions are also required with regard to the mathematical procedure of extracting the probability curve out of these inputs.
The following market input data are supported:
Credit Default Swap (CDS) rates
The CDS rates may be specified using the one of the conventions listed in
Quote Type

The CDS rates may exhibit the following attributes:
Accrual On Default
Settle On Default

The extraction of default (survival) probabilities is not uniquely determined by the market inputs.
The default probability is built for all possible times according to
Build Method so that a certain mathematical quantity defined in Modelled Qty is interpolated according to Interp Method