CDS, CDS-class | R Documentation |
Class definition for the CDS-Class
name
is the name of the reference entity. Optional.
contract
is the contract type, default SNAC
RED
alphanumeric code assigned to the reference entity. Optional.
date
is when the trade is executed, denoted as T. Default is
Sys.Date
.
spread
CDS par spread in bps.
maturity
date of the CDS contract.
tenor
of contract in number of years - 5, 3
coupon
quoted in bps. It specifies the payment amount from
recovery
in decimal. Default is 0.4.
currency
in which CDS is denominated.
principal
is the dirty upfront
less the accrual
.
accrual
is the accrued interest payment.
pd
is the approximate the default probability at time t given the
spread
.
price
is the price
upfront
is quoted in the currency amount. Since a standard contract is traded with fixed coupons, upfront payment is introduced to reconcile the difference in contract value due to the difference between the fixed coupon and the conventional par spread. There are two types of upfront, dirty and clean. Dirty upfront, a.k.a. Cash Settlement Amount, refers to the market value of a CDS contract. Clean upfront is dirty upfront less any accrued interest payment, and is also called the Principal.
spread.DV01
measures the sensitivity of a CDS contract mark-to-market to a parallel shift in the term structure of the par spread.
IR.DV01
is the change in value of a CDS contract for a 1 bp parallel
increase in the interest rate curve. IRDV01
is, typically, a much
smaller dollar value than spreadDV01
because moves in overall
interest rates have a much smaller effect on the value of a CDS contract
than does a move in the CDS spread itself.
rec.risk.01
is the dollar value change in market value if the recovery rate used in the CDS valuation were increased by 1%.
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