add_conventions: Return accounting conventions

In creditr: Credit Default Swaps

Return accounting conventions

Description

add_conventions takes a data frame with a currency.var column and returns the same data frame with eight other columns of accounting conventions added to it.

Usage

add_conventions(x, currency.var = "currency")

Arguments

x	a data frame containing all necessary information
currency.var	a character indicating the name of currency column

Value

a data frame with eight more columns of accounting conventions: badDayConvention (a character indicating how non-business days are converted), mmDCC (the day count convention of the instruments), mmCalendars (any calendar adjustment for the CDS), fixedDCC (the day count convention of the fixed leg), floatDCC (the day count convention of the floating leg), fixedFreq (the frequency of the fixed rate of swap being paid), floatFreq (the frequency of the floating rate of swap being paid) and swapCalendars (any calendar adjustment for swap rate)

References

https://www.cdsmodel.com/cdsmodel/assets/cds-model/docs/c-code%20Key%20Functions-v1.pdf

Examples

x <- data.frame(date = c(as.Date("2014-05-06"), as.Date("2014-05-07")),
                currency = c("USD", "JPY"))
add_conventions(x)

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