PV01: Calculate PV01

In creditr: Credit Default Swaps

Calculate PV01

Description

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

Usage

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

creditr documentation built on April 3, 2025, 5:53 p.m.