Calculate PV01

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Description

PV01 to calculate present value 01 or present value of a stream of 1bp payments

Usage

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PV01(x, principal.var = "principal", spread.var = "spread",
  coupon.var = "coupon", notional.var = "notional")

Arguments

x

data frame, contains all the relevant columns.

principal.var

name of the column containing the principal or clean upfront values of the CDS

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.

notional.var

character, column in x containing the amount of the underlying asset on which the payments are based.

Value

Vector containing the PV01 values