creditr: Credit Default Swaps

Price credit default swaps using 'C' code from the International Swaps and Derivatives Association CDS Standard Model. See <https://www.cdsmodel.com/cdsmodel/documentation.html> for more information about the model and <https://www.cdsmodel.com/cdsmodel/cds-disclaimer.html> for license details for the 'C' code.

Package details

AuthorYanrong Song [aut, cre], Zijie Zhu [aut], David Kane [aut], Heidi Chen [aut], Yuanchu Dang [aut], Yang Lu [aut], Kanishka Malik [aut], Skylar Smith [aut], International Swaps and Derivatives Association [cph] (Copyright holder of the free CDS standard model code used in this package)
MaintainerYanrong Song <yrsong129@gmail.com>
Licensefile LICENSE
Version0.6.2
URL https://github.com/yanrong-stacy-song/creditr
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("creditr")

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creditr documentation built on April 3, 2025, 5:53 p.m.