# IR_DV01: Calculate IR.DV01 In creditr: Credit Default Swaps in R

## Description

`IR_DV01` calculate the amount of change in upfront when there is a 1/1e4 increase in interest rate for a data frame of CDS contracts.

## Usage

 ```1 2 3 4``` ```IR_DV01(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 when there is a 1/1e4 increase in interest rate, for each corresponding CDS contract.

## Examples

 ```1 2 3 4 5 6 7 8 9``` ```x <- data.frame(date = c(as.Date("2014-04-22"), as.Date("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) IR_DV01(x) ```

### Example output

```IF YOU USE THIS CDS PACKAGE, YOUR USE WILL SIGNIFY YOUR
UNDERSTANDING
AND IRREVOCABLE ACCEPTANCE OF THIS LICENSE AND ITS
TERMS, WHICH INCORPORATE
BY REFERENCE THE INTERNATIONAL SWAPS AND
DERIVATIVES ASSOCIATION, INC.'S CDS
WHICH IS AVAILABLE AT

http://www.cdsmodel.com/cdsmodel/cds-disclaimer.page before using
the package.

THE ISDA(R) CDS
STANDARD MODEL.

DISCLAIMER: ISDA HAS NEITHER
REVIEWED, APPROVED NOR ENDORSED THE USE OF
THE CDS PACKAGE. THOSE
PERSONS USING THIS CDS PACKAGE ARE ENCOURAGED TO SEEK
A LEGAL PROFESSIONAL TO EVALUATE ITS SUITABILITY FOR THEIR USE.

ISDA(R) is a registered mark of the International Swaps and
Derivatives
Association, Inc.

Please type **yes** to assent to
the aforementioned terms.

[1] -25.15333 -12.85976
```

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