`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?"

creditr documentation built on May 29, 2017, 8:46 p.m.

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