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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 |
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Author | Yanrong 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) |
Maintainer | Yanrong Song <yrsong129@gmail.com> |
License | file LICENSE |
Version | 0.6.2 |
URL | https://github.com/yanrong-stacy-song/creditr |
Package repository | View on CRAN |
Installation |
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