Description Format Details Source See Also Examples

This data frame is created by `build_rates`

in `creditr`

package to
calculate the CDS pricing. It covers three currencies: USD, EUR, and JPY. The
interest rates date from 2004-01-01 to 2014-08-23. Rates on holidays and
weekends are available as well as business days.

A data frame with 194378 observations on the following 4 variables.

date = a date (Date object)

currency = a character containing

`USD`

`EUR`

`JPY`

expiry = a character containing

`1M`

`2M`

`3M`

`6M`

`9M`

`1Y`

`2Y`

`3Y`

`4Y`

`5Y`

`6Y`

`7Y`

`8Y`

`9Y`

`10Y`

`12Y`

`15Y`

`20Y`

`30Y`

rate = a numeric vector. The LIBOR rate.

The source of the interest rates in `rates.RData`

is from
https://www.markit.com/ and
http://research.stlouisfed.org/fred2/. When a user is calculating CDS
using the `CDS`

package, the package calls `get_rates`

to get the
needed interest rates; `get_rates`

then calls the `rates.RData`

for these interest rates. If a date is unavailable in `rates.RData`

,
then the package calls other functions to get the needed interest rates
from the internet. The `rates.RData`

is created and stored in the
package for the users' convenience: getting interest rates from the
Internet may fail due to the internet connection problem and may be very
slow. Also, the user can build its own updated local `rates.RData`

by
using `build_rates`

. For more explanation on the usage of
`build_rates`

, please see **See Also**.

Also, please notice that in the `rates.RData`

, the `rate`

is not
the interest rate on the `date`

listed in the same row as the
`rate`

. For example, in the first row, the `rate`

is 0.001550;
the `date`

in that row is 2014-08-21. But this does not mean that on
2014-08-21, the interest rate is 0.001550; instead, 0.001550 is the
interest rate on 2014-08-20. This regulation of using the interest rate on
the previous business day of CDS trading date is set by ISDA Standard
Model. The Model says that, if a trader buy a CDS on 2014-08-21, then when
calculating the pricing of the CDS, she should use the interest rate of
2014-08-20, which is 0.001550. This may be confusing for people who are yet
unfamiliar with CDS. We design `rates.RData`

in this way because it is
easier for other functions in the `CDS`

package to use this data frame
for calculation.

`rates.RData`

covers holidays, weekend and business days. As is set by
ISDA Standard Model and introduced above, we use the previous business
day's interest rate for CDS pricing on a certain trading date. Therefore,
if the user is buying a CDS on Saturday, she should use the interest rate
of last Friday; if she is buying a CDS on Sunday or Monday, she should
still use the interest rate of last Friday, because last Friday is the
previous business day of the CDS trading date. When it comes to holidays,
we still choose the previous business day for interest rate. For example,
if a trader is buying a CDS on 2014-07-05, then she should use the interest
rate of 2014-07-03, because 2014-07-04 is a national holiday and 2014-07-03
is the previous business day of trading date.

Also, please notice that in `rates.RData`

, a currency's type of
expiries generally stays the same along the time, but not always. For
example, we check the expiry type of USD in `rates.RData`

: for
2004-01-01, there are two types of expirty: 1M, 3Y; for 2006-01-01, there
are five types of expiry: 1M, 2M, 3M, 6M, 1Y; for 2007-01-01, there are 18
types of expiry; for 2014-01-01, there are 19 types of expiry. Therefore,
for a trader, she should always keep in mind to update her knowledge of the
expiry types of her trading currency. For different currencies, the types
of expiries are often different.

Finally, please notice that some of the data are missing for a certain
expiry of a currency in a short time. For example, some dates in
`rates.RData`

do not have a `expiry`

of 3Y for `USD`

. This
is not likely to be caused by data error, since all these data are got from
Markit and FRED. Users, however, should be aware of that some data seem
"missing".

https://www.markit.com/ http://research.stlouisfed.org/fred2/

`download_FRED`

`download_markit`

`build_rates`

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

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