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.

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

Files in this package

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

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