CDS | R Documentation |
CDS
class object given the input about a CDS contract.Build a CDS
class object given the input about a CDS contract.
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
)
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
|
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. |
a CDS
class object including the input informtion on the
contract as well as the valuation results of the contract.
x <- CDS(date = as.Date("2014-05-07"), tenor = 5, spread = 50, coupon = 100)
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