Credit Default Swap Data from 2007 to 2009.

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Description

This data frame contains the information of 260 credit default swaps (CDS) from 2007-01-02 to 2009-12-31. The data sets is actually a combination of CDS backtest conducted under daily, weekly, monthly, and quartrly trading frequency. The strategy column contains the trading frequency.

Format

A data frame with 7 variables

  • name = The name of each credit default swap (CDS).

  • date = The trading date.

  • sector = The sector the CDS belongs to.

  • strategy = The trading strategy of the credit default swap, including "daily", "weekly", "monthly" and "quarterly".

  • gmv = The gross market value of the CDS held on that day.

  • nmv = The net market value of the CDS held on that day.

  • pnl = The P&L value (adjusted) of the CDS on that day.