implied_RR: Calculates Implied Recovery Rate

In creditr: Credit Default Swaps

Calculates Implied Recovery Rate

Description

implied_RR that calculates the recovery rate implied by the CDS spread and probability of default (pd) by using the ISDA model. This takes a data frame of inputs and returns a vector of the same length.

Usage

implied_RR(
  x,
  date.var = "date",
  tenor.var = "tenor",
  maturity.var = "maturity",
  spread.var = "spread",
  pd.var = "pd"
)

Arguments

x	data frame, contains all the relevant columns.
date.var	character, column in x containing date variable.
tenor.var	character, column in x containing tenors.
maturity.var	character, column in x containing maturity date.
spread.var	character, column in x containing spread in basis points.
pd.var	name of the column containing the probability of default rates.

Value

implied recovery rate in percentage based on the general approximation for a probability of default in the Bloomberg manual. The actual calculation uses a complicated bootstrapping process, so the results may be marginally different.

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