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Worksheet Title
6.21 Market data for Credit Adjusted pricing
6.22 Modelling the Forward IR envelope
6.2 !orksheet to su""arise "odelling swap e#posure and t
6.2& %sti"ation of $%'s for IR( and CC(6.2) *raph of IR( $%'
6.26 *raph of CC( $%'
6.2+ !orksheet to calculate the credit adjust"ent on the prici
6.2, *raph of accu"ulative default pro-a-ilities
6.2 Credit adjust"ent for a range of "aturities and for difere
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plot $otential Future %#posure
g of an IR(
t rating counterparties
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6.21: Market data for Credit Adjusted pricing
/oda0 4-e!-"#
$ %o.
or&ard da0s Forward "o. Forward (pot (
dates Act63 4F5s rates volatilit0
7see Forward 8ol curve 79 in Ch 13 for source9
6:Fe-:3, 1 3
6:Ma0:3, 3.2)3 3.21 .1&)33;
6 6:Aug:3, 3.2)6 3.,&),2 .32+2; 16.22;
6:
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6.2$: Worksheet to su%%arise %odelling s&ap eposure and to plot 9otential
2*r
down "id up down
3 3.33; 3.33; 3.33; 3.33;
1 :3.+6; :3.1&; 3.66; :1.&;2 3.33; 3.33; 3.33; :3.66;
3.33;
&
)
6
+
,
13
11
12
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ture posure
$*r 4*r ,*r
"id up down "id up down "id
3.33; 3.33; 3.33; 3.33; 3.33; 3.33; 3.33;
3.36; 1.,); :1.; 3.26; .13; :2.+3; 3.&);3.&1; 1.; :1.&2; 3.,1; .2; :2.2+; 1.1,;
3.33; 3.33; :3.+; 3.62; 2.+&; :1.6; 1.1;
3.33; 3.33; 3.33; :3.1; 3.+,;
3.33; 3.33;
8 eposure en)elopes
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6*r *r
up down "id up down "id
3.33; 3.33; 3.33; 3.33; 3.33; 3.33;
&.); :.&); 3.62; ).),; :&.21; 3.+);).3; :.23; 1.)2; +.,&; :&.1,; 1.+,;
).&&; :2.+3; 1.+3; ,.3); :.,1; 2.13;
.&; :1.6; 1.&,; 6.,1; :.1); 2.31;
3.33; :1.36; 3.,; &.1); :2.1; 1.)+;
3.33; 3.33; 3.33; :1.2; 3.,&;
3.33; 3.33;
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#*r *r
up down "id up down "id up
3.33; 3.33; 3.33; 3.33; 3.33; 3.33; 3.33;
6.+2; :&.,; 3.,); +.+,; :).+); 3.&; ,.+;.61; :).1; 1.,; 11.22; :6.22; 2.1+; 12.+,;
13.&2; :&.,; 2.&3; 12.)+; :6.1,; 2.6,; 1&.62;
.,3; :&.&); 2.&; 12.)2; :).++; 2.,1; 1).3;
+.,; :.6,; 2.13; 11.1); :).12; 2.),; 1&.3;
&.)1; :2.+; 1.&,; ,.)2; :&.2&; 2.3+; 12.3;
3.33; :1.)3; 3.++; &.,&; :.3,; 1.&6; .);
3.33; 3.33; 3.33; :1.6&; 3.,2; ).;3.33; 3.33; 3.33;
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1"*r 11*r
down "id up down "id up down
3.33; 3.33; 3.33; 3.33; 3.33; 3.33; 3.33;
:6.)3; 1.31; .+2; :+.21; 1.3+; 13.)6; :+.3;:+.2; 2.2; 1&.1,; :,.21; 2.&&; 1).&; :.16;
:+.; 2.1; 16.&,; :,.)+; .3; 1,.11; :.+1;
:+.12; .11; 1+.; :,.&+; .6; 1.&; :.+,;
:6.); 2.+; 1+.13; :,.3+; .2+; 1.)6; :.);
:).,2; 2.)&; 1).6,; :+.&2; 2.1; 1,.62; :.31;
:&.+); 2.32; 1.); :6.&); 2.&6; 16.,); :,.16;
:.,; 1.&6; 13.12; :).1,; 1.6; 1&.2; :6.;:1.,2; 3.+&; ).6; :.6; 1.2; 13.&,; :).);
3.33; 3.33; 3.33; :1.6; 3.6); ).+); :.);
3.33; 3.33; 3.33; :2.3,;
3.33;
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12*r
"id up
3.33; 3.33;
1.12; 11.2;2.)&; 16.)6;
.2&; 1.),;
.)); 21.2&;
.); 21.++;
.21; 21.2&;
2.,2; 1.&;
2.,; 1+.,,;1.+; 1&.+);
1.1,; 13.+6;
3.); ).1;
3.33; 3.33;
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6.24: sti%ation of 9;s for '( and CC
tracted fro% (eport1$61d:
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stru%ents 0ank of ngland> 1#
+ , 13 11 12
16.33; 1.23; 22.&3; 2).&3; 2,.63; 1.63;
11.&3; 1.63; 1).,3; 1,.23; 23.&3; 22.63;
.&3; 11.23; 1.33; 1&.,3; 16.,3; 1,.,3;
+.&3; ,.,3; 13.23; 11.63; 1.23; 1&.63;
6.33; +.23; ,.&3; .,3; 11.33; 12.23;
).23; 6.23; +.23; ,.23; .23; 13.&3;
&.&3; ).23; 6.23; +.33; ,.33; .33;
).23; 6.23; +.&3; ,.&3; .63; 13.63;
6.33; +.33; ,.33; .33; 13.33; 11.33;
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6.2) IR( $%'
$age 1
3 2 & 6 , 13 12 1&3.33;
).33;
13.33;
1).33;
23.33;
2).33;
3.33;
).33;
$eak %#posure of B( IR(7as ; of
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6.26 CC( $%'
$age 1&
3 2 & 6 , 13 12 1&3.33;
13.33;
23.33;
3.33;
&3.33;
)3.33;
63.33;
+3.33;
$eak %#posure of B( D CC(7as ; of
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6.2: Worksheet to calculate the credit adjust
/i"e 3 1
current discount curve 1 3.+1+
1.32
1. Cu%ulati)e default %atri
Rating
Aaa 3;
Aa 3;
A 3;
Eaa 3.2;
Ea 1.+;
E +.;
Inv grade 3.3;
(pec grade &.;
tracted fro% Mo
Rating
Aaa 133.3;
Aa 133.3;
A 133.3;
Eaa .,;
Ea ,.;
E 2.1;
Inv grade 133.3;
(pec grade ).+;
Rating
Aaa 3.3;
Aa 3.3;
A 3.3;
Eaa 3.2;
E 1 +;
Cu%ulati)e pro!a!ilit* of sur)i)al %atri tD
ur)i)al until t-1D> then default EtD
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6.2, Accu"ulative default pro-s
3 1 2 & ) 6 + , 13 11 12
3.3;
13.3;
23.3;
3.3;
&3.3;
)3.3;
3efault 9ro!a!ilities
Aaa
Aa
A
Eaa
Ea
E
Inv grade
(pec
grade
Maturit*
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6.2 *raph of CA pricing
$age 1+
2 $ 4 , 6 # 1" 11 12
"."
1"."
2"."
$"."
4"."
,"."
6"."
"."
#"."
"."
,8 Fui)alent eposure !pD
Aaa
Aa
A
0aa
0a
0
'n) Grade
pec Grade