Description Usage Details Value Author(s) References See Also
Function to calculate the spread in a credit default swap.
1 | cdswap()
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The user inputs are as follows:
Notional: to be entered in numbers for e.g. 1000000
Risk free rate: entered in decimals for e.g. 0.05 for 5 per cent
Maturity in yrs: entered for e.g. 5 for 5 years
Probability of Default: entered in decimals for e.g. 0.02 for 2 per cent
Default assumption: chosen amongst End of Q1/End of half year/End of Q3/End of Year
recovery rate: Clicking on "+/-" incrases/decreases the recovery rate.
The spread in a credit default swap.
S Subramanian <ssubramanian@sssihl.edu.in>
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.
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