# CS10: Calculate CS10 In creditr: Credit Default Swaps in R

## Description

`CS10` calculates the change in upfront value when the spread rises by 10

## Usage

 ```1 2 3 4``` ```CS10(x, date.var = "date", currency.var = "currency", maturity.var = "maturity", tenor.var = "tenor", spread.var = "spread", coupon.var = "coupon", recovery.var = "recovery", notional.var = "notional", notional = 1e+07, recovery = 0.4) ```

## Arguments

 `x` data frame, contains all the relevant columns. `date.var` character, column in x containing date variable. `currency.var` character, column in x containing currency. `maturity.var` character, column in x containing maturity date. `tenor.var` character, column in x containing tenors. `spread.var` character, column in x containing spread in basis points. `coupon.var` character, column in x containing coupon rates in basis points. It specifies the payment amount from the protection buyer to the seller on an annual basis. `recovery.var` character, column in x containing recovery rates. ISDA model standard recovery rate asscumption is 0.4. `notional.var` character, column in x containing the amount of the underlying asset on which the payments are based. `notional` numeric, the notional amount for all pricing if there isn't a notional.var `recovery` numeric, the recovery rate for all pricing if there isn't a recovery.var

## Value

a vector containing the change in upfront in units of currency.var when spread increase by 10

## Examples

 ```1 2 3 4 5 6 7 8 9``` ```x <- data.frame(date = as.Date(c("2014-04-22", "2014-04-22")), currency = c("USD", "EUR"), tenor = c(5, 5), spread = c(120, 110), coupon = c(100, 100), recovery = c(0.4, 0.4), notional = c(10000000, 10000000), stringsAsFactors = FALSE) CS10(x) ```

creditr documentation built on May 29, 2017, 8:46 p.m.