CS10 | R Documentation |
CS10
calculates the change in upfront value when the spread rises by
10
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
)
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 |
a vector containing the change in upfront in units of currency.var when spread increase by 10
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)
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