R/cdsdata.R

In CreditRisk: Evaluation of Credit Risk with Structural and Reduced Form Models

#' CDS quotes from market
#'
#' \itemize{
#' \item \code{Maturity}: Maturities of cds contracts expressed in years;
#' \item \code{Par.Spread}: CDS rates quotes, spread that nullify the present value of the two legs;
#' \item \code{ED.Zero.Curve}: EURIBOR interest rates (risk-free)
#' }
#' @docType data
#'
#' @usage data(cdsdata)
#'
#' @format An object of class \code{"data.frame"}.
#'
#' @keywords datasets
#'
#' @source Thomson Reuters, CDS quotes of Unicredit on 2017-01-23
#'
"cdsdata"