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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.
Package details |
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Author | c(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")) |
Maintainer | Yuanchu Dang <yuanchu.dang@gmail.com> |
License | file LICENSE |
Version | 0.6.1 |
URL | https://github.com/davidkane9/creditr |
Package repository | View on CRAN |
Installation |
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