CDS: Build a 'CDS' class object given the input about a CDS...

Description Usage Arguments Value Examples

Description

Build a CDS class object given the input about a CDS contract.

Usage

1
2
3
CDS(name = NULL, contract = "SNAC", RED = NULL, date = Sys.Date(),
  spread = NULL, maturity = NULL, tenor = NULL, coupon = 100,
  recovery = 0.4, currency = "USD", notional = 1e+07)

Arguments

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. The date format should be in "YYYY-MM-DD".

spread

CDS par spread in bps.

maturity

date of the CDS contract.

tenor

of contract. By default is set as 5

coupon

quoted in bps. It specifies the payment amount from the protection buyer to the seller on a regular basis. The default is 100 bps.

recovery

in decimal. Default is 0.4.

currency

in which CDS is denominated.

notional

is the amount of the underlying asset on which the payments are based. Default is 10000000, i.e. 10MM.

Value

a CDS class object including the input informtion on the contract as well as the valuation results of the contract.

Examples

1
x <- CDS(date = as.Date("2014-05-07"), tenor = 5, spread = 50, coupon = 100)


Search within the creditr package
Search all R packages, documentation and source code

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.