{"text_format":"1","workbook":"xlsx","n_sheets":3,"sheets":["Yield Curve","Credit Curve","CDS Price"],"not_rendered":{"charts":1,"images":1,"macros":1,"external_links":0,"defined_names":66,"comments":0,"pivot_tables":0},"unopened":[],"bounds":{"document_bytes":16777216,"sheet_cells":100000,"rows_first":2000,"rows_last":500,"rows_between":2000,"halvings":0,"cell_chars":16384,"cell_head_chars":4096},"cells_cut":0,"cells_raw":0,"read":"whole","date_system":"1900"}

{"sheet":"Yield Curve","index":0,"n_rows":16,"n_cols":6,"rows_kept":16,"cut":false,"hidden":false,"merged":[]}
[]
[null,"Simple Yield Curve for Demo Purposes"]
[]
[null,"Yield Curve",null,null,"Discount Factors"]
[]
[null,"Currency","USD",null,"Time, t","DiscFactor"]
[null,"ZeroRate",3.0228123396233719E-2,null,1,{"$f":"EXP(-ZeroRate*E7)","v":0.97022417746674583}]
[null,null,null,null,2,0.94133495454102345]
[null,null,null,null,3,0.913305931990261]
[null,null,null,null,4,0.88611149664075062]
[null,null,null,null,5,0.85972679797209928]
[null,null,null,null,6,0.83412772540859914]
[null,null,null,null,7,0.80929088628676571]
[null,null,null,null,8,0.78519358447891097]
[null,null,null,null,9,0.76181379965321716]
[null,null,null,null,10,0.73913016715135882]

{"sheet":"Credit Curve","index":1,"n_rows":91,"n_cols":58,"rows_kept":91,"cut":false,"hidden":false,"merged":[[8,10,8,11],[2,10,2,11],[3,10,3,11],[4,10,4,11],[7,10,7,11],[5,10,5,11],[6,10,6,11]]}
[null,null,null,null,null,null,null,null,"Instructions",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Hazard Rates",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Shifted-Hazard Rates"]
[null,null,"Credit Model",null,null,null,null,null,null,null,"1.CDS Curve Specification",null,null,null,"2. CDS Market Data ",null,null,null,"Calibration Results",null,null,null,null,"Hazard Rates & Probabilities",null,null,null,null,null,null,null,null,null,"Bump 1Y",null,null,null,"Bump 2Y",null,null,null,"Bump 3 Y",null,null,null,"Bump 4Y",null,null,null,"Bump 5Y",null,null,null,"Bump 10Y"]
[null,null,"In this workbook we demonstrate how to calibrate a credit curve to CDS instruments.",null,null,null,null,null,null,null,"CreditName",null,"USA_SOV",null,"Tenor","Par Spread (bps)","Par Spread (%)",null,"Time (Years)","Hazard Rate",null,null,null,"Time, T","Hazard Rate","P(Survive), Q(T)","P(Default)","DiscFact, P(0,T)",null,null,null,null,"Time, T","Hazard Rate","Shifted-Hazard","P(Survive), Q(T)","P(Default)","Hazard Rate","Shifted-Hazard","P(Survive), Q(T)","P(Default)","Hazard Rate","Shifted-Hazard","P(Survive), Q(T)","P(Default)","Hazard Rate","Shifted-Hazard","P(Survive), Q(T)","P(Default)","Hazard Rate","Shifted-Hazard","P(Survive), Q(T)","P(Default)","Hazard Rate","Shifted-Hazard","P(Survive), Q(T)","P(Default)"]
[null,null,"We can calibrate to Corporate Bonds or CDS, here we calibrate to CDS.",null,null,null,null,null,null,null,"Currency",null,"USD",null,"1Y",10,{"$f":"P4/10000","v":1E-3},null,1,{"$f":"N27","v":1.666666690779446E-3},null,null,null,0,{"$f":"Interpolate(X4,$S$4:$S$9,$T$4:$T$9)","v":1.666666690779446E-3},1,0,1,null,null,null,null,0,null,"Rate",1,0,null,"Rate",1,0,null,"Rate",1,0,null,"Rate",1,0,null,"Rate",1,0,null,"Rate",1,0]
[null,null,null,null,null,null,null,null,null,null,"PremiumFrequency",null,"QUARTERLY",null,"2Y",12,1.1999999999999999E-3,null,2,2.3442523763698223E-3,null,null,null,{"$f":"YearFraction","v":0.25},{"$f":"Interpolate(X5,$S$4:$S$9,$T$4:$T$9)","v":1.666666690779446E-3},{"$f":"EXP(-Y5*YearFraction)*Z4","v":0.99958342012080814},{"$f":"Z4-Z5","v":4.1657987919185846E-4},{"$f":"EXP(-ZeroRate*$X5)","v":0.99247145171553464},null,null,null,null,{"$f":"YearFraction","v":0.25},{"$f":"HazardRate1Y+ShiftSize","v":1.6667666907794461E-3},{"$f":"Interpolate($AG5,$S$4:$S$9,AH$5:AH$10)","v":1.6667666907794461E-3},{"$f":"EXP(-AI5*YearFraction)*AJ4","v":0.99958339513122296},{"$f":"AJ4-AJ5","v":4.166048687770374E-4},{"$f":"HazardRate1Y","v":1.666666690779446E-3},{"$f":"Interpolate($AG5,$S$4:$S$9,AL$5:AL$10)","v":1.666666690779446E-3},{"$f":"EXP(-AM5*YearFraction)*AN4","v":0.99958342012080814},{"$f":"AN4-AN5","v":4.1657987919185846E-4},{"$f":"HazardRate1Y","v":1.666666690779446E-3},{"$f":"Interpolate($AG5,$S$4:$S$9,AP$5:AP$10)","v":1.666666690779446E-3},{"$f":"EXP(-AQ5*YearFraction)*AR4","v":0.99958342012080814},{"$f":"AR4-AR5","v":4.1657987919185846E-4},{"$f":"HazardRate1Y","v":1.666666690779446E-3},{"$f":"Interpolate($AG5,$S$4:$S$9,AT$5:AT$10)","v":1.666666690779446E-3},{"$f":"EXP(-AU5*YearFraction)*AV4","v":0.99958342012080814},{"$f":"AV4-AV5","v":4.1657987919185846E-4},{"$f":"HazardRate1Y","v":1.666666690779446E-3},{"$f":"Interpolate($AG5,$S$4:$S$9,AX$5:AX$10)","v":1.666666690779446E-3},{"$f":"EXP(-AY5*YearFraction)*AZ4","v":0.99958342012080814},{"$f":"AZ4-AZ5","v":4.1657987919185846E-4},{"$f":"HazardRate1Y","v":1.666666690779446E-3},{"$f":"Interpolate($AG5,$S$4:$S$9,BB$5:BB$10)","v":1.666666690779446E-3},{"$f":"EXP(-BC5*YearFraction)*BD4","v":0.99958342012080814},{"$f":"BD4-BD5","v":4.1657987919185846E-4}]
[null,null,"Inputs:","CDS Par Spread Quotes ",null,null,null,null,null,null,"RecoveryRate, R",null,0.4,null,"3Y",15,1.5E-3,null,3,3.5506598573163228E-3,null,null,null,{"$f":"X5+YearFraction","v":0.5},{"$f":"Interpolate(X6,$S$4:$S$9,$T$4:$T$9)","v":1.666666690779446E-3},0.99916701378041206,4.1640634039608049E-4,0.98499958247034081,null,null,null,null,{"$f":"AG5+YearFraction","v":0.5},{"$f":"HazardRate2Y","v":2.3442523763698223E-3},{"$f":"Interpolate($AG6,$S$4:$S$9,AH$5:AH$10)","v":1.6667666907794461E-3},0.9991669638220626,4.1643130916035886E-4,{"$f":"HazardRate2Y+ShiftSize","v":2.3443523763698221E-3},{"$f":"Interpolate($AG6,$S$4:$S$9,AL$5:AL$10)","v":1.666666690779446E-3},0.99916701378041206,4.1640634039608049E-4,{"$f":"HazardRate2Y","v":2.3442523763698223E-3},{"$f":"Interpolate($AG6,$S$4:$S$9,AP$5:AP$10)","v":1.666666690779446E-3},0.99916701378041206,4.1640634039608049E-4,{"$f":"HazardRate2Y","v":2.3442523763698223E-3},{"$f":"Interpolate($AG6,$S$4:$S$9,AT$5:AT$10)","v":1.666666690779446E-3},0.99916701378041206,4.1640634039608049E-4,{"$f":"HazardRate2Y","v":2.3442523763698223E-3},{"$f":"Interpolate($AG6,$S$4:$S$9,AX$5:AX$10)","v":1.666666690779446E-3},0.99916701378041206,4.1640634039608049E-4,{"$f":"HazardRate2Y","v":2.3442523763698223E-3},{"$f":"Interpolate($AG6,$S$4:$S$9,BB$5:BB$10)","v":1.666666690779446E-3},0.99916701378041206,4.1640634039608049E-4]
[null,null,"Outputs:","Hazard Rates (Instantaneous Probability of Default)",null,null,null,null,null,null,"PremiumYearFraction, Dt",null,0.25,null,"4Y",17,1.6999999999999999E-3,null,4,3.902810059679798E-3,null,null,null,0.75,{"$f":"Interpolate(X7,$S$4:$S$9,$T$4:$T$9)","v":1.666666690779446E-3},0.99875078090651892,4.162328738931409E-4,0.97758396555353466,null,null,null,null,0.75,{"$f":"HazardRate3Y","v":3.5506598573163228E-3},{"$f":"Interpolate($AG7,$S$4:$S$9,AH$5:AH$10)","v":1.6667666907794461E-3},0.99875070600021321,4.162578218493973E-4,{"$f":"HazardRate3Y","v":3.5506598573163228E-3},{"$f":"Interpolate($AG7,$S$4:$S$9,AL$5:AL$10)","v":1.666666690779446E-3},0.99875078090651892,4.162328738931409E-4,{"$f":"HazardRate3Y+ShiftSize","v":3.5507598573163227E-3},{"$f":"Interpolate($AG7,$S$4:$S$9,AP$5:AP$10)","v":1.666666690779446E-3},0.99875078090651892,4.162328738931409E-4,{"$f":"HazardRate3Y","v":3.5506598573163228E-3},{"$f":"Interpolate($AG7,$S$4:$S$9,AT$5:AT$10)","v":1.666666690779446E-3},0.99875078090651892,4.162328738931409E-4,{"$f":"HazardRate3Y","v":3.5506598573163228E-3},{"$f":"Interpolate($AG7,$S$4:$S$9,AX$5:AX$10)","v":1.666666690779446E-3},0.99875078090651892,4.162328738931409E-4,{"$f":"HazardRate3Y","v":3.5506598573163228E-3},{"$f":"Interpolate($AG7,$S$4:$S$9,BB$5:BB$10)","v":1.666666690779446E-3},0.99875078090651892,4.162328738931409E-4]
[null,null,null,null,null,null,null,null,null,null,"Notional",null,1000000,null,"5Y",24.33,2.4329999999999998E-3,null,5,9.3893342974379363E-3,null,null,null,1,{"$f":"Interpolate(X8,$S$4:$S$9,$T$4:$T$9)","v":1.666666690779446E-3},0.99833472142686608,4.1605947965284162E-4,0.97022417746674583,null,null,null,null,1,{"$f":"HazardRate4Y","v":3.902810059679798E-3},{"$f":"Interpolate($AG8,$S$4:$S$9,AH$5:AH$10)","v":1.6667666907794461E-3},0.99833462159339903,4.1608440681417669E-4,{"$f":"HazardRate4Y","v":3.902810059679798E-3},{"$f":"Interpolate($AG8,$S$4:$S$9,AL$5:AL$10)","v":1.666666690779446E-3},0.99833472142686608,4.1605947965284162E-4,{"$f":"HazardRate4Y","v":3.902810059679798E-3},{"$f":"Interpolate($AG8,$S$4:$S$9,AP$5:AP$10)","v":1.666666690779446E-3},0.99833472142686608,4.1605947965284162E-4,{"$f":"HazardRate4Y+ShiftSize","v":3.9029100596797979E-3},{"$f":"Interpolate($AG8,$S$4:$S$9,AT$5:AT$10)","v":1.666666690779446E-3},0.99833472142686608,4.1605947965284162E-4,{"$f":"HazardRate4Y","v":3.902810059679798E-3},{"$f":"Interpolate($AG8,$S$4:$S$9,AX$5:AX$10)","v":1.666666690779446E-3},0.99833472142686608,4.1605947965284162E-4,{"$f":"HazardRate4Y","v":3.902810059679798E-3},{"$f":"Interpolate($AG8,$S$4:$S$9,BB$5:BB$10)","v":1.666666690779446E-3},0.99833472142686608,4.1605947965284162E-4]
[null,null,"Assumptions",null,null,null,null,null,null,null,"LossGivenDefault, LGD",null,{"$f":"Notional*(1-RecoveryRate)","v":600000},null,"10Y",30,3.0000000000000001E-3,null,10,6.1315102339601062E-3,null,null,null,1.25,{"$f":"Interpolate(X9,$S$4:$S$9,$T$4:$T$9)","v":2.3442523763698223E-3},0.99774980570658678,5.8491572027929983E-4,0.96291979789993165,null,null,null,null,1.25,{"$f":"HazardRate5Y","v":9.3893342974379363E-3},{"$f":"Interpolate($AG9,$S$4:$S$9,AH$5:AH$10)","v":2.3442523763698223E-3},0.99774970593161139,5.8491566178764387E-4,{"$f":"HazardRate5Y","v":9.3893342974379363E-3},{"$f":"Interpolate($AG9,$S$4:$S$9,AL$5:AL$10)","v":2.3443523763698221E-3},0.99774978076284204,5.8494066402403622E-4,{"$f":"HazardRate5Y","v":9.3893342974379363E-3},{"$f":"Interpolate($AG9,$S$4:$S$9,AP$5:AP$10)","v":2.3442523763698223E-3},0.99774980570658678,5.8491572027929983E-4,{"$f":"HazardRate5Y","v":9.3893342974379363E-3},{"$f":"Interpolate($AG9,$S$4:$S$9,AT$5:AT$10)","v":2.3442523763698223E-3},0.99774980570658678,5.8491572027929983E-4,{"$f":"HazardRate5Y+ShiftSize","v":9.3894342974379357E-3},{"$f":"Interpolate($AG9,$S$4:$S$9,AX$5:AX$10)","v":2.3442523763698223E-3},0.99774980570658678,5.8491572027929983E-4,{"$f":"HazardRate5Y","v":9.3893342974379363E-3},{"$f":"Interpolate($AG9,$S$4:$S$9,BB$5:BB$10)","v":2.3442523763698223E-3},0.99774980570658678,5.8491572027929983E-4]
[null,null,"Hazard Rates are Deterministic & Piecewise Contant",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,1.5,{"$f":"Interpolate(X10,$S$4:$S$9,$T$4:$T$9)","v":2.3442523763698223E-3},0.99716523268339352,5.8457302319325777E-4,0.95567040970737449,null,null,null,null,1.5,{"$f":"HazardRate10Y","v":6.1315102339601062E-3},{"$f":"Interpolate($AG10,$S$4:$S$9,AH$5:AH$10)","v":2.3442523763698223E-3},0.99716513296687537,5.8457296473601872E-4,{"$f":"HazardRate10Y","v":6.1315102339601062E-3},{"$f":"Interpolate($AG10,$S$4:$S$9,AL$5:AL$10)","v":2.3443523763698221E-3},0.99716518282513322,5.8459793770881952E-4,{"$f":"HazardRate10Y","v":6.1315102339601062E-3},{"$f":"Interpolate($AG10,$S$4:$S$9,AP$5:AP$10)","v":2.3442523763698223E-3},0.99716523268339352,5.8457302319325777E-4,{"$f":"HazardRate10Y","v":6.1315102339601062E-3},{"$f":"Interpolate($AG10,$S$4:$S$9,AT$5:AT$10)","v":2.3442523763698223E-3},0.99716523268339352,5.8457302319325777E-4,{"$f":"HazardRate10Y","v":6.1315102339601062E-3},{"$f":"Interpolate($AG10,$S$4:$S$9,AX$5:AX$10)","v":2.3442523763698223E-3},0.99716523268339352,5.8457302319325777E-4,{"$f":"HazardRate10Y+ShiftSize","v":6.1316102339601065E-3},{"$f":"Interpolate($AG10,$S$4:$S$9,BB$5:BB$10)","v":2.3442523763698223E-3},0.99716523268339352,5.8457302319325777E-4]
[null,null,"(This is standard industry practice)",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,1.75,{"$f":"Interpolate(X11,$S$4:$S$9,$T$4:$T$9)","v":2.3442523763698223E-3},0.99658100215650292,5.8423052689060562E-4,0.94847559888385768,null,null,null,null,1.75,null,{"$f":"Interpolate($AG11,$S$4:$S$9,AH$5:AH$10)","v":2.3442523763698223E-3},0.99658090249840781,5.8423046846756144E-4,null,{"$f":"Interpolate($AG11,$S$4:$S$9,AL$5:AL$10)","v":2.3443523763698221E-3},0.99658092741293069,5.8425541220252786E-4,null,{"$f":"Interpolate($AG11,$S$4:$S$9,AP$5:AP$10)","v":2.3442523763698223E-3},0.99658100215650292,5.8423052689060562E-4,null,{"$f":"Interpolate($AG11,$S$4:$S$9,AT$5:AT$10)","v":2.3442523763698223E-3},0.99658100215650292,5.8423052689060562E-4,null,{"$f":"Interpolate($AG11,$S$4:$S$9,AX$5:AX$10)","v":2.3442523763698223E-3},0.99658100215650292,5.8423052689060562E-4,null,{"$f":"Interpolate($AG11,$S$4:$S$9,BB$5:BB$10)","v":2.3442523763698223E-3},0.99658100215650292,5.8423052689060562E-4]
[null,null,null,null,null,null,null,null,null,null,"CDS PVs",null,null,null,null,null,null,null,"CDS Par Spreads",null,null,null,null,2,{"$f":"Interpolate(X12,$S$4:$S$9,$T$4:$T$9)","v":2.3442523763698223E-3},0.99599711392524937,5.8388823125354872E-4,0.94133495454102345,null,null,null,null,2,null,{"$f":"Interpolate($AG12,$S$4:$S$9,AH$5:AH$10)","v":2.3442523763698223E-3},0.995997014325543,5.8388817286481043E-4,null,{"$f":"Interpolate($AG12,$S$4:$S$9,AL$5:AL$10)","v":2.3443523763698221E-3},0.99599701432554311,5.8391308738758863E-4,null,{"$f":"Interpolate($AG12,$S$4:$S$9,AP$5:AP$10)","v":2.3442523763698223E-3},0.99599711392524937,5.8388823125354872E-4,null,{"$f":"Interpolate($AG12,$S$4:$S$9,AT$5:AT$10)","v":2.3442523763698223E-3},0.99599711392524937,5.8388823125354872E-4,null,{"$f":"Interpolate($AG12,$S$4:$S$9,AX$5:AX$10)","v":2.3442523763698223E-3},0.99599711392524937,5.8388823125354872E-4,null,{"$f":"Interpolate($AG12,$S$4:$S$9,BB$5:BB$10)","v":2.3442523763698223E-3},0.99599711392524937,5.8388823125354872E-4]
[null,null,"Instructions",null,null,null,null,null,null,null,"Tenor","Credit Spread","Coupon","Premium","Accrued","Protection","Total PV",null,"Risky Annuity","Par Spread (bps)","Par Spread (%)","+/-",null,2.25,{"$f":"Interpolate(X13,$S$4:$S$9,$T$4:$T$9)","v":3.5506598573163228E-3},0.99511339446407421,8.8371946117515865E-4,0.93424806888390632,null,null,null,null,2.25,null,{"$f":"Interpolate($AG13,$S$4:$S$9,AH$5:AH$10)","v":3.5506598573163228E-3},0.9951132949527397,8.8371937280329327E-4,null,{"$f":"Interpolate($AG13,$S$4:$S$9,AL$5:AL$10)","v":3.5506598573163228E-3},0.99511329495273981,8.8371937280329327E-4,null,{"$f":"Interpolate($AG13,$S$4:$S$9,AP$5:AP$10)","v":3.5507598573163227E-3},0.99511336958623964,8.8374433900972882E-4,null,{"$f":"Interpolate($AG13,$S$4:$S$9,AT$5:AT$10)","v":3.5506598573163228E-3},0.99511339446407421,8.8371946117515865E-4,null,{"$f":"Interpolate($AG13,$S$4:$S$9,AX$5:AX$10)","v":3.5506598573163228E-3},0.99511339446407421,8.8371946117515865E-4,null,{"$f":"Interpolate($AG13,$S$4:$S$9,BB$5:BB$10)","v":3.5506598573163228E-3},0.99511339446407421,8.8371946117515865E-4]
[null,null,"1. Specify the CDS Recovery Rate ( 40% for Senior Bonds, 20% for Subordinated Bonds)",null,null,null,null,null,null,null,"1Y",{"$f":"Q4","v":1E-3},{"$f":"-Notional*L14*YearFraction","v":-250},{"$f":"M14*SUMPRODUCT(PSurvival1Y,DiscFactors1Y)","v":-980.30208310026978},{"$f":"M14*0.5*SUMPRODUCT(PDefault1Y,DiscFactors1Y)","v":-0.20427215734534865},{"$f":"LGD*SUMPRODUCT(PDefault1Y,DiscFactors1Y)","v":980.50635525767348},{"$f":"SUM(N14:P14)","v":5.8321347751189023E-11},null,{"$f":"Notional*YearFraction*(SUMPRODUCT(PSurvival1Y,DiscFactors1Y)+0.5*SUMPRODUCT(PDefault1Y,DiscFactors1Y))","v":980506.3552576151},{"$f":"P14/S14*10000","v":10.000000000000595},{"$f":"T14/10000","v":1.0000000000000594E-3},{"$f":"U14-Q4","v":5.9414279052205643E-17},null,2.5,{"$f":"Interpolate(X14,$S$4:$S$9,$T$4:$T$9)","v":3.5506598573163228E-3},0.99423045910164298,8.8293536243122528E-4,0.92721453718764535,null,null,null,null,2.5,null,{"$f":"Interpolate($AG14,$S$4:$S$9,AH$5:AH$10)","v":3.5506598573163228E-3},0.99423035967860207,8.8293527413763062E-4,null,{"$f":"Interpolate($AG14,$S$4:$S$9,AL$5:AL$10)","v":3.5506598573163228E-3},0.99423035967860218,8.8293527413763062E-4,null,{"$f":"Interpolate($AG14,$S$4:$S$9,AP$5:AP$10)","v":3.5507598573163227E-3},0.99423040939012131,8.8296019611833199E-4,null,{"$f":"Interpolate($AG14,$S$4:$S$9,AT$5:AT$10)","v":3.5506598573163228E-3},0.99423045910164298,8.8293536243122528E-4,null,{"$f":"Interpolate($AG14,$S$4:$S$9,AX$5:AX$10)","v":3.5506598573163228E-3},0.99423045910164298,8.8293536243122528E-4,null,{"$f":"Interpolate($AG14,$S$4:$S$9,BB$5:BB$10)","v":3.5506598573163228E-3},0.99423045910164298,8.8293536243122528E-4]
[null,null,"2. Input the CDS Market Data i.e. Market Par Spreads",null,null,null,null,null,null,null,"2Y",1.1999999999999999E-3,-300,{"$f":"M15*SUMPRODUCT(PSurvival2Y,DiscFactors2Y)","v":-2315.3167022843186},{"$f":"M15*0.5*SUMPRODUCT(PDefault2Y,DiscFactors2Y)","v":-0.5789739190506753},{"$f":"LGD*SUMPRODUCT(PDefault2Y,DiscFactors2Y)","v":2315.895676202701},-6.6847860580310225E-10,null,{"$f":"Notional*YearFraction*(SUMPRODUCT(PSurvival2Y,DiscFactors2Y)+0.5*SUMPRODUCT(PDefault2Y,DiscFactors2Y))","v":1929913.0635028079},11.999999999996536,1.1999999999996536E-3,-3.4629417389187012E-16,null,2.75,{"$f":"Interpolate(X15,$S$4:$S$9,$T$4:$T$9)","v":3.5506598573163228E-3},0.99334830714224764,8.8215195939533864E-4,0.92023395777436989,null,null,null,null,2.75,null,{"$f":"Interpolate($AG15,$S$4:$S$9,AH$5:AH$10)","v":3.5506598573163228E-3},0.99334820780742195,8.8215187118012572E-4,null,{"$f":"Interpolate($AG15,$S$4:$S$9,AL$5:AL$10)","v":3.5506598573163228E-3},0.99334820780742206,8.8215187118012572E-4,null,{"$f":"Interpolate($AG15,$S$4:$S$9,AP$5:AP$10)","v":3.5507598573163227E-3},0.99334823264112737,8.8217674899393472E-4,null,{"$f":"Interpolate($AG15,$S$4:$S$9,AT$5:AT$10)","v":3.5506598573163228E-3},0.99334830714224764,8.8215195939533864E-4,null,{"$f":"Interpolate($AG15,$S$4:$S$9,AX$5:AX$10)","v":3.5506598573163228E-3},0.99334830714224764,8.8215195939533864E-4,null,{"$f":"Interpolate($AG15,$S$4:$S$9,BB$5:BB$10)","v":3.5506598573163228E-3},0.99334830714224764,8.8215195939533864E-4]
[null,null,"3. Enter the solver tolerance",null,null,null,null,null,null,null,"3Y",1.5E-3,-375,{"$f":"M16*SUMPRODUCT(PSurvival3Y,DiscFactors3Y)","v":-4271.1783108187301},{"$f":"M16*0.5*SUMPRODUCT(PDefault3Y,DiscFactors3Y)","v":-1.3351604596991213},{"$f":"LGD*SUMPRODUCT(PDefault3Y,DiscFactors3Y)","v":4272.5134710371885},-2.412407411611639E-7,null,{"$f":"Notional*YearFraction*(SUMPRODUCT(PSurvival3Y,DiscFactors3Y)+0.5*SUMPRODUCT(PDefault3Y,DiscFactors3Y))","v":2848342.3141856194},14.999999999153049,1.499999999915305E-3,-8.4695054788919144E-14,null,3,{"$f":"Interpolate(X16,$S$4:$S$9,$T$4:$T$9)","v":3.5506598573163228E-3},0.99246693789079732,8.8136925145032574E-4,0.913305931990261,null,null,null,null,3,null,{"$f":"Interpolate($AG16,$S$4:$S$9,AH$5:AH$10)","v":3.5506598573163228E-3},0.99246683864410845,8.8136916331349457E-4,null,{"$f":"Interpolate($AG16,$S$4:$S$9,AL$5:AL$10)","v":3.5506598573163228E-3},0.99246683864410856,8.8136916331349457E-4,null,{"$f":"Interpolate($AG16,$S$4:$S$9,AP$5:AP$10)","v":3.5507598573163227E-3},0.99246683864410845,8.8139399701891996E-4,null,{"$f":"Interpolate($AG16,$S$4:$S$9,AT$5:AT$10)","v":3.5506598573163228E-3},0.99246693789079732,8.8136925145032574E-4,null,{"$f":"Interpolate($AG16,$S$4:$S$9,AX$5:AX$10)","v":3.5506598573163228E-3},0.99246693789079732,8.8136925145032574E-4,null,{"$f":"Interpolate($AG16,$S$4:$S$9,BB$5:BB$10)","v":3.5506598573163228E-3},0.99246693789079732,8.8136925145032574E-4]
[null,null,"4. Enter an initial guess for the hazard rate, we use H = S / (1-R), which is a reasonable",null,null,null,null,null,null,null,"4Y",1.6999999999999999E-3,-425,{"$f":"M17*SUMPRODUCT(PSurvival4Y,DiscFactors4Y)","v":-6349.1388739456188},{"$f":"M17*0.5*SUMPRODUCT(PDefault4Y,DiscFactors4Y)","v":-2.2494500309757313},{"$f":"LGD*SUMPRODUCT(PDefault4Y,DiscFactors4Y)","v":6351.3883227550059},-1.2215887181810103E-6,null,{"$f":"Notional*YearFraction*(SUMPRODUCT(PSurvival4Y,DiscFactors4Y)+0.5*SUMPRODUCT(PDefault4Y,DiscFactors4Y))","v":3736110.7788097616},16.999999996730317,1.6999999996730316E-3,-3.26968270167316E-13,null,3.25,{"$f":"Interpolate(X17,$S$4:$S$9,$T$4:$T$9)","v":3.902810059679798E-3},0.99149905766189383,9.678802289034838E-4,0.90643006418278371,null,null,null,null,3.25,null,{"$f":"Interpolate($AG17,$S$4:$S$9,AH$5:AH$10)","v":3.902810059679798E-3},0.99149895851199299,9.6788013211546176E-4,null,{"$f":"Interpolate($AG17,$S$4:$S$9,AL$5:AL$10)","v":3.902810059679798E-3},0.9914989585119931,9.6788013211546176E-4,null,{"$f":"Interpolate($AG17,$S$4:$S$9,AP$5:AP$10)","v":3.902810059679798E-3},0.99149895851199299,9.6788013211546176E-4,null,{"$f":"Interpolate($AG17,$S$4:$S$9,AT$5:AT$10)","v":3.9029100596797979E-3},0.99149903287441776,9.6790501637955551E-4,null,{"$f":"Interpolate($AG17,$S$4:$S$9,AX$5:AX$10)","v":3.902810059679798E-3},0.99149905766189383,9.678802289034838E-4,null,{"$f":"Interpolate($AG17,$S$4:$S$9,BB$5:BB$10)","v":3.902810059679798E-3},0.99149905766189383,9.678802289034838E-4]
[null,null,"5. To show each solver iteration, set show iterations to True",null,null,null,null,null,null,null,"5Y",2.4329999999999998E-3,-608.25,{"$f":"M18*SUMPRODUCT(PSurvival5Y,DiscFactors5Y)","v":-11166.074097547491},{"$f":"M18*0.5*SUMPRODUCT(PDefault5Y,DiscFactors5Y)","v":-5.6626739943024553},{"$f":"LGD*SUMPRODUCT(PDefault5Y,DiscFactors5Y)","v":11171.736610214462},-1.6132733071572147E-4,null,{"$f":"Notional*YearFraction*(SUMPRODUCT(PSurvival5Y,DiscFactors5Y)+0.5*SUMPRODUCT(PDefault5Y,DiscFactors5Y))","v":4591753.7079908727},24.329999648658571,2.4329999648658573E-3,-3.5134142557097237E-11,null,3.5,{"$f":"Interpolate(X18,$S$4:$S$9,$T$4:$T$9)","v":3.902810059679798E-3},0.99053212133560486,9.6693632628896964E-4,0.89960596167809259,null,null,null,null,3.5,null,{"$f":"Interpolate($AG18,$S$4:$S$9,AH$5:AH$10)","v":3.902810059679798E-3},0.99053202228239767,9.6693622959531655E-4,null,{"$f":"Interpolate($AG18,$S$4:$S$9,AL$5:AL$10)","v":3.902810059679798E-3},0.99053202228239778,9.6693622959531655E-4,null,{"$f":"Interpolate($AG18,$S$4:$S$9,AP$5:AP$10)","v":3.902810059679798E-3},0.99053202228239767,9.6693622959531655E-4,null,{"$f":"Interpolate($AG18,$S$4:$S$9,AT$5:AT$10)","v":3.9029100596797979E-3},0.99053207180900016,9.6696106541760418E-4,null,{"$f":"Interpolate($AG18,$S$4:$S$9,AX$5:AX$10)","v":3.902810059679798E-3},0.99053212133560486,9.6693632628896964E-4,null,{"$f":"Interpolate($AG18,$S$4:$S$9,BB$5:BB$10)","v":3.902810059679798E-3},0.99053212133560486,9.6693632628896964E-4]
[null,null,"6. Press the Run Solver Macro button to run the solver, which is a simple loop in VBA.",null,null,null,null,null,null,null,"10Y",3.0000000000000001E-3,-750,{"$f":"M19*SUMPRODUCT(PSurvival10Y,DiscFactors10Y)","v":-25264.117376450031},{"$f":"M19*0.5*SUMPRODUCT(PDefault10Y,DiscFactors10Y)","v":-15.799948308976056},{"$f":"LGD*SUMPRODUCT(PDefault10Y,DiscFactors10Y)","v":25279.917294361687},-3.0397321097552776E-5,null,{"$f":"Notional*YearFraction*(SUMPRODUCT(PSurvival10Y,DiscFactors10Y)+0.5*SUMPRODUCT(PDefault10Y,DiscFactors10Y))","v":8426639.1082530022},29.999999963927117,2.9999999963927115E-3,-3.6072885130356003E-12,null,3.75,{"$f":"Interpolate(X19,$S$4:$S$9,$T$4:$T$9)","v":3.902810059679798E-3},0.98956612799141142,9.6599334419344984E-4,0.8928332347586061,null,null,null,null,3.75,null,{"$f":"Interpolate($AG19,$S$4:$S$9,AH$5:AH$10)","v":3.902810059679798E-3},0.98956602903480362,9.6599324759405469E-4,null,{"$f":"Interpolate($AG19,$S$4:$S$9,AL$5:AL$10)","v":3.902810059679798E-3},0.98956602903480373,9.6599324759405469E-4,null,{"$f":"Interpolate($AG19,$S$4:$S$9,AP$5:AP$10)","v":3.902810059679798E-3},0.98956602903480362,9.6599324759405469E-4,null,{"$f":"Interpolate($AG19,$S$4:$S$9,AT$5:AT$10)","v":3.9029100596797979E-3},0.98956605377395479,9.6601803504536843E-4,null,{"$f":"Interpolate($AG19,$S$4:$S$9,AX$5:AX$10)","v":3.902810059679798E-3},0.98956612799141142,9.6599334419344984E-4,null,{"$f":"Interpolate($AG19,$S$4:$S$9,BB$5:BB$10)","v":3.902810059679798E-3},0.98956612799141142,9.6599334419344984E-4]
[null,null,"7. Optional: For the solver we can choose to use a Numerical or Analytical Risk Jacobian",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,4,{"$f":"Interpolate(X20,$S$4:$S$9,$T$4:$T$9)","v":3.902810059679798E-3},0.98860107670969222,9.6505128171919807E-4,0.88611149664075062,null,null,null,null,4,null,{"$f":"Interpolate($AG20,$S$4:$S$9,AH$5:AH$10)","v":3.902810059679798E-3},0.98860097784958956,9.6505118521406086E-4,null,{"$f":"Interpolate($AG20,$S$4:$S$9,AL$5:AL$10)","v":3.902810059679798E-3},0.98860097784958967,9.6505118521406086E-4,null,{"$f":"Interpolate($AG20,$S$4:$S$9,AP$5:AP$10)","v":3.902810059679798E-3},0.98860097784958956,9.6505118521406086E-4,null,{"$f":"Interpolate($AG20,$S$4:$S$9,AT$5:AT$10)","v":3.9029100596797979E-3},0.98860097784958967,9.6507592436512191E-4,null,{"$f":"Interpolate($AG20,$S$4:$S$9,AX$5:AX$10)","v":3.902810059679798E-3},0.98860107670969222,9.6505128171919807E-4,null,{"$f":"Interpolate($AG20,$S$4:$S$9,BB$5:BB$10)","v":3.902810059679798E-3},0.98860107670969222,9.6505128171919807E-4]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,4.25,{"$f":"Interpolate(X21,$S$4:$S$9,$T$4:$T$9)","v":9.3893342974379363E-3},0.98628322166444449,2.3178550452477298E-3,0.8794403634528708,null,null,null,null,4.25,null,{"$f":"Interpolate($AG21,$S$4:$S$9,AH$5:AH$10)","v":9.3893342974379363E-3},0.98628312303612731,2.3178548134622501E-3,null,{"$f":"Interpolate($AG21,$S$4:$S$9,AL$5:AL$10)","v":9.3893342974379363E-3},0.98628312303612742,2.3178548134622501E-3,null,{"$f":"Interpolate($AG21,$S$4:$S$9,AP$5:AP$10)","v":9.3893342974379363E-3},0.98628312303612731,2.3178548134622501E-3,null,{"$f":"Interpolate($AG21,$S$4:$S$9,AT$5:AT$10)","v":9.3893342974379363E-3},0.98628312303612742,2.3178548134622501E-3,null,{"$f":"Interpolate($AG21,$S$4:$S$9,AX$5:AX$10)","v":9.3894342974379357E-3},0.98628319700736433,2.3178797023278852E-3,null,{"$f":"Interpolate($AG21,$S$4:$S$9,BB$5:BB$10)","v":9.3893342974379363E-3},0.98628322166444449,2.3178550452477298E-3]
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[null,null,null,null,null,null,null,null,null,null,"Solver Iteration Results",null,null,null,null,null,null,null,null,null,null,null,null,9,{"$f":"Interpolate(X40,$S$4:$S$9,$T$4:$T$9)","v":6.1315102339601062E-3},0.95563449712621662,1.4659939823463697E-3,0.76181379965321716,null,null,null,null,9,null,{"$f":"Interpolate($AG40,$S$4:$S$9,AH$5:AH$10)","v":6.1315102339601062E-3},0.95563440156277157,1.4659938357469704E-3,null,{"$f":"Interpolate($AG40,$S$4:$S$9,AL$5:AL$10)","v":6.1315102339601062E-3},0.95563440156277168,1.4659938357469704E-3,null,{"$f":"Interpolate($AG40,$S$4:$S$9,AP$5:AP$10)","v":6.1315102339601062E-3},0.95563440156277157,1.4659938357469704E-3,null,{"$f":"Interpolate($AG40,$S$4:$S$9,AT$5:AT$10)","v":6.1315102339601062E-3},0.95563440156277168,1.4659938357469704E-3,null,{"$f":"Interpolate($AG40,$S$4:$S$9,AX$5:AX$10)","v":6.1315102339601062E-3},0.95563440156277168,1.4659938357469704E-3,null,{"$f":"Interpolate($AG40,$S$4:$S$9,BB$5:BB$10)","v":6.1316102339601065E-3},0.95563411487249361,1.4660173234519736E-3]
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[null,null,null,null,null,null,null,null,null,"4Y",2.1249999999999997E-3,3.9010802887769159E-3,3.902810059679798E-3,3.9028100615216455E-3]
[null,null,null,null,null,null,null,null,null,"5Y",3.0412499999999997E-3,9.3633144693426873E-3,9.3893342974379363E-3,9.3893346101396064E-3]
[null,null,null,null,null,null,null,null,null,"10Y",3.7499999999999999E-3,6.1295375104951175E-3,6.1315102339601062E-3,6.1315101772241969E-3,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Shift Size"]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,9.9999999999999995E-8]
[]
[null,null,null,null,null,null,null,null,null,null,"Jacobian, dP/dH",null,null,null,null,null,null,null,null,null,null,null,null,null,"Analytical Jacobian, dP/dH",null,null,null,null,null,null,null,null,"Numerical Jacobian, dP/dH"]
[null,null,null,null,null,null,null,null,null,null,"NUMERICAL","<--- Can be computed numerically or analytically"]
[null,null,null,null,null,null,null,null,null,"dP/dH","dH1Y","dH2Y","dH3Y","dH4Y","dH5Y","dH10Y",null,null,null,null,null,null,null,"dP/dH","dH1Y","dH2Y","dH3Y","dH4Y","dH5Y","dH10Y",null,null,"dP/dH","dH1Y","dH2Y","dH3Y","dH4Y","dH5Y","dH10Y"]
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{"sheet":"CDS Price","index":2,"n_rows":44,"n_cols":26,"rows_kept":44,"cut":false,"hidden":false,"merged":[]}
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