creditr: Credit Default Swaps in R

Provides tools for pricing credit default swaps using C code for the International Swaps and Derivatives Association (ISDA) CDS Standard Model. See <http://www.cdsmodel.com/cdsmodel/documentation.html> for more information about the model and <http://www.cdsmodel.com/cdsmodel/cds-disclaimer.html> for license details for the C code.

Install the latest version of this package by entering the following in R:
install.packages("creditr")
Authorc(person("Heidi", "Chen", role = c("aut"), email = "s.heidi.chen@gmail.com"), person("Yuanchu", "Dang", role = c("aut"), email = "yuanchu.dang@gmail.com"), person("David", "Kane", role = c("aut"), email = "dave.kane@gmail.com"), person("Yang", "Lu", role = c("aut", "cre"), email = "yang.lu2014@gmail.com"), person("Skylar", "Smith", role = c("aut"), email = "sws2@williams.edu"), person("Kanishka", "Malik", role = c("aut"), email = "kanishkamalik@gmail.com"), person("Miller Zijie", "Zhu", role = c("aut"), email = "zijie.zhu@williams.com"))
Date of publication2015-08-12 20:12:52
MaintainerYuanchu Dang <yuanchu.dang@gmail.com>
Licensefile LICENSE
Version0.6.1
https://github.com/davidkane9/creditr

View on CRAN

Functions

add_conventions Man page
add_dates Man page
adj_next_bus_day Man page
build_rates Man page
call_ISDA Man page
CDS Man page
CDS, Man page
CDS, CDS-class Man page
CDS-class Man page
check_inputs Man page
creditr Man page
creditr-package Man page
CS10 Man page
download_FRED Man page
download_markit Man page
get_rates Man page
get_raw_markit Man page
implied_RR Man page
IR_DV01 Man page
pd_to_spread Man page
PV01 Man page
rates Man page
rec_risk_01 Man page
separate_YMD Man page
show Man page
show,CDS-method Man page
spread_DV01 Man page
spread_to_pd Man page
spread_to_upfront Man page
summary Man page
summary,CDS-method Man page
upfront_to_spread Man page

Files

inst
inst/doc
inst/doc/creditr.pdf
inst/doc/creditr.R
inst/doc/creditr.Rnw
tests
tests/test-that.R
tests/testthat
tests/testthat/test_add_dates.R tests/testthat/test_check_inputs.R tests/testthat/test_IR_DV01.R tests/testthat/test_rec_risk_01.R tests/testthat/test_summary.R tests/testthat/test_add_conventions.R
tests/testthat/test_spread_to_upfront.RData
tests/testthat/test_pd_to_spread.R tests/testthat/test_spread_to_pd.R tests/testthat/test_CS10.R
tests/testthat/test_add_dates.RData
tests/testthat/test_upfront_to_spread.R tests/testthat/test_CDS.R tests/testthat/test_spread_to_upfront.R tests/testthat/test_build_rates.R
tests/testthat/test_upfront_to_spread.RData
tests/testthat/test_implied_RR.R tests/testthat/test_get_rates.R tests/testthat/test_adj_next_bus_day.R tests/testthat/test_spread_DV01.R tests/testthat/test_rates.R tests/testthat/test_show.R
src
src/cashflow.c
src/zcswdate.c
src/interpc.c
src/cgeneral.h
src/zr2fwd.c
src/zr2fwd.h
src/dateadj.c
src/timeline.c
src/Makevars
src/zcswutil.c
src/datelist.h
src/cfileio.c
src/contingentleg.h
src/gtozc.h
src/cashflow.h
src/zr2coup.c
src/stub.h
src/dtlist.c
src/lprintf.h
src/badday.h
src/lprintf.c
src/schedule.c
src/busDaysOffset.c
src/cfinanci.cpp
src/lintrp.h
src/calcSpread.c
src/schedule.h
src/cx.h
src/version.h
src/ldate.c
src/convert.c
src/gtozc.c
src/cerror.h
src/fltrate.h
src/lscanf.c
src/zcswap.c
src/streamcf.h
src/badday.c
src/cdate.h
src/mdydate.h
src/datelist.c
src/busday.h
src/linterpc.c
src/interp.h
src/busday.c
src/cheaders.h
src/cxdatelist.c
src/cmemory.h
src/zr2coup.h
src/cdsbootstrap.c
src/cxdatelist.h
src/macros.h
src/dateconv.c
src/dtlist.h
src/bsearch.h
src/fltrate.c
src/rtbrent.c
src/cmemory.c
src/date_sup.c
src/date_sup.h
src/streamcf.c
src/cxbsearch.c
src/cxzerocurve.c
src/cxzerocurve.h
src/cdsone.h
src/yearfrac.h
src/zcprvt.h
src/bsearch.c
src/tcurve.h
src/yearfrac.c
src/dateadj.h
src/convert.h
src/cfinanci.h
src/strutil.c
src/zerocurve.c
src/zerocurve.h
src/metric.h
src/zcall.c
src/zcswdate.h
src/buscache.h
src/defaulted.c
src/cdsone.c
src/stub.c
src/cxbsearch.h
src/Makevars.win
src/rtbrent.h
src/cds.c
src/lintrp1.c
src/cerror.c
src/feeleg.c
src/dateconv.h
src/tcurve.c
src/defaulted.h
src/strutil.h
src/buscache.c
src/cfileio.h
src/cds.h
src/ldate.h
src/bsearchinc.h
src/timeline.h
src/bastypes.h
src/lintrp1inc.h
src/calcUpfront.c
src/version.c
src/cx.c
src/contingentleg.c
src/feeleg.h
NAMESPACE
data
data/rates.RData
R
R/AllClasses.R R/add_conventions.R R/spread_to_pd.R R/call_ISDA.R R/creditr-package.R R/upfront_to_spread.R R/rec_risk_01.R R/spread_to_upfront.R R/show.R R/get_raw_markit.R R/separate_YMD.R R/rates.R R/adj_next_bus_day.R R/check_inputs.R R/download_FRED.R R/implied_RR.R R/build_rates.R R/CS10.R R/download_markit.R R/get_rates.R R/summary.R R/spread_DV01.R R/IR_DV01.R R/PV01.R R/zzz.R R/pd_to_spread.R R/CDS.R R/add_dates.R
vignettes
vignettes/images
vignettes/images/AlcoaIncCDSCalculator.jpg
vignettes/images/AlcoaIncCDS.jpg
vignettes/images/AlcoaIncCDSDeal.jpg
vignettes/images/MarkitCDSAlcoa.jpg
vignettes/images/AlcoaIncCDSMarket.jpg
vignettes/creditr.bib
vignettes/jsslogo.jpg
vignettes/creditr.Rnw
MD5
build
build/vignette.rds
DESCRIPTION
man
man/summary-methods.Rd man/pd_to_spread.Rd man/spread_DV01.Rd man/add_conventions.Rd man/call_ISDA.Rd man/separate_YMD.Rd man/download_FRED.Rd man/implied_RR.Rd man/rec_risk_01.Rd man/IR_DV01.Rd man/creditr.Rd man/get_raw_markit.Rd man/adj_next_bus_day.Rd man/get_rates.Rd man/rates.Rd man/spread_to_upfront.Rd man/spread_to_pd.Rd man/PV01.Rd man/CDS-class.Rd man/check_inputs.Rd man/upfront_to_spread.Rd man/CDS.Rd man/build_rates.Rd man/CS10.Rd man/download_markit.Rd man/add_dates.Rd man/show-methods.Rd
LICENSE

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