Create a model that will simulate a single FX process and default for a single reference entity.
Description
Create a model that will simulate a single FX process and default for a single reference entity.
Example Sheet
CDS.xlsx
Arguments
- objectName The name of the object to be created.
- survivalProbSource A curve that provides survival probabilities. Usually a hazard curve.
- otherCurrency The other currency required in the simulation. The valuation currency will be inferred from the valueCurrencyDiscount. This value needs to be explicitly set since fxSource may provide multiple pairs.(Currency)
- fxSource The source FX spot and forwards.
- valueCurrencyDiscount The value currency discount curve.
- fxVol The fx volatility.
- relJumpSizeInDefault The relative jump size in default. For example if the value currency is ZAR and the other currency is USD then the fx is modelled as ZAR per USD and in default the fx rate will change to: rate before default * (1 + relJumpSizeInDefault).
- expectedRecoveryRate The constant recovery rate that will be assumed to apply in default.