Description Usage Arguments Value Examples
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.
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)
|
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 when there is a 1/1e4 increase in interest rate, for each corresponding CDS contract.
1 2 3 4 5 6 7 8 9 |
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[1] -25.15333 -12.85976
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