Get the survival probability from the anchor date until a date or between two dates.

Description

Get the survival probability from the anchor date until a date or between two dates.

Example Sheet

CDS.xlsx

Arguments

  • survivalProbabilitySource The hazard rate curve or other source of default probabilities.
  • date1 If date2 is ommitted the date until which survival is calculated. If date2 is provided the date from which survival is calculated.(Date)
  • date2 Optional: If provided then the survival probability is calculated from date1 until date2.(Date)