Description Usage Arguments Value See Also
pd_to_spread
to calculate spread using the probability of default,
tenor and recovery rate.
1 2 | pd_to_spread(x, recovery.var = "recovery", currency.var = "currency",
tenor.var = "tenor", date.var = "date", pd.var = "pd")
|
x |
data frame, contains all the relevant columns. |
recovery.var |
character, column in x containing recovery rates. ISDA model standard recovery rate asscumption is 0.4. |
currency.var |
character, column in x containing currency. |
tenor.var |
character, column in x containing tenors. |
date.var |
character, column in x containing date variable. |
pd.var |
name of the column containing the probability of default in decimals. |
vector containing the spread values in basis points, calculated by inverting the formula for probability of default given in the Bloomberg Manual
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