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 (ISurvivalProbabilitySource)The hazard rate curve or other source of default probabilities.
  • date1 (Date)If date2 is omitted the date until which survival is calculated. If date2 is provided the date from which survival is calculated.
  • date2 *(Date)Optional: If provided then the survival probability is calculated from date1 until date2.(Default value = )