creditr: The creditr package.

In creditr: Credit Default Swaps

The creditr package.

Description

creditr package prices credit default swaps (CDS). It enables CDS class object which has slots as name, contract, RED, date, spread, maturity, teno, coupon, recovery, currency, notional, principal, accrual, pd, price, upfront, spread.DV01, IR.DV01 and rec.risk.01, with S4 methods like update, show and summary. It also supports data frame input and is able to provide convenient calculation of key CDS statistics through functions like CS10, IR.DV01, rec_risk_01 and spread_DV01. Of other major functions, spread_to_upfront and upfront_to_spread are designed to compute one of spread and upfront given the other; spread_to_pd and pd_to_spread, similarly, can calculate one of spread and probability of default given the other; add_dates and add_conventions compute a series of dates information and accounting conventions related to CDS pricing. Finally, get_rates and build_rates facilitates direct fetching of relevant interest rates from online sources. Thanks to ISDA Standard Model's Open Source license, we are able to create this package for R users. You can find the Open Source licence of ISDA Standard Model at "https://www.cdsmodel.com/cdsmodel/cds-disclaimer.html"

Author(s)

Maintainer: Yanrong Song [e-mail]

Authors:

• Zijie Zhu [e-mail]

• David Kane [e-mail]

• Heidi Chen [e-mail]

• Yuanchu Dang [e-mail]

• Yang Lu [e-mail]

• Kanishka Malik [e-mail]

• Skylar Smith [e-mail]

Other contributors:

• International Swaps and Derivatives Association (Copyright holder of the free CDS standard model code used in this package) [copyright holder]

See Also

Useful links:

• https://github.com/yanrong-stacy-song/creditr

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