creditr: The creditr package.
In creditr: Credit Default Swaps in R

Description

creditr package provides useful tools for pricing 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 "http://www.cdsmodel.com/cdsmodel/cds-disclaimer.html?"