Description Usage Arguments Details Value References Examples
Calculate CDS rates starting from default intensities
1 |
t |
premium timetable. |
T |
CDS maturities. |
tr |
interest rates timetable. |
r |
spot interest rates. |
tint |
intensity timetable. |
int |
default intensities timetable. |
R |
constant premium payment. |
... |
further arguments on |
The function cds2
is based on cds
but allows a more fine controll on maturities
and on discretization of r
and int
. In particular input (t, tr, tint)
can be of different length thanks to the function approx.
An object of class data.frame
that contains the quantities calculated by cds
on T timetable.
David Lando (2004) Credit Risk Modeling.
Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013) Counterparty Credit Risk, Collateral and Funding. With Pricing Cases for All Asset Classes
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