creditr: Credit Default Swaps in R
Version 0.6.1

Provides tools for pricing credit default swaps using C code for the International Swaps and Derivatives Association (ISDA) CDS Standard Model. See for more information about the model and for license details for the C code.

Browse man pages Browse package API and functions Browse package files

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
URL https://github.com/davidkane9/creditr
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("creditr")

Man pages

add_conventions: Return accounting conventions
add_dates: Return CDS dates.
adj_next_bus_day: Adjust to next business day.
build_rates: Build a data frame containing interest rates for CDS pricing
call_ISDA: call ISDA c function
CDS: Build a 'CDS' class object given the input about a CDS...
CDS-class: CDS Class
check_inputs: Check whether inputs from the data frame are valid.
creditr: The creditr package.
CS10: Calculate CS10
download_FRED: Get Rates from FRED
download_markit: Get rates from Markit
get_rates: Get interest rates from rates.RData or the Markit website
get_raw_markit: Get raw data from Markit website.
implied_RR: Calculates Implied Recovery Rate
IR_DV01: Calculate IR.DV01
pd_to_spread: Calculate spread with Default Probability
PV01: Calculate PV01
rates: LIBOR rates from 2004-01-01 to 2015-08-03
rec_risk_01: Calculate Recovery Rate Changes
separate_YMD: Separate Year/Month/Day
show-methods: Show Method
spread_DV01: Calculate Spread Change
spread_to_pd: Calcualte Default Probability with Spread
spread_to_upfront: Calculate Upfront Payments
summary-methods: Summary Method
upfront_to_spread: Calculate Spread with a Given Upfront

Functions

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

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
creditr documentation built on May 19, 2017, 7:04 p.m.