spread_DV01: Calculate Spread Change

In creditr: Credit Default Swaps

Calculate Spread Change

Description

spread_DV01 calculates the spread DV01 or change in upfront value when the spread rises by 1 basis point

Usage

spread_DV01(
  x,
  date.var = "date",
  currency.var = "currency",
  maturity.var = "maturity",
  tenor.var = "tenor",
  spread.var = "spread",
  coupon.var = "coupon",
  recovery.var = "recovery",
  notional.var = "notional",
  notional = 1e+07,
  recovery = 0.4
)

Arguments

x	data frame, contains all the relevant columns.
date.var	character, column in x containing date variable.
currency.var	character, column in x containing currency.
maturity.var	character, column in x containing maturity date.
tenor.var	character, column in x containing tenors.
spread.var	character, column in x containing spread in basis points.
coupon.var	character, column in x containing coupon rates in basis points. It specifies the payment amount from the protection buyer to the seller on an annual basis.
recovery.var	character, column in x containing recovery rates. ISDA model standard recovery rate asscumption is 0.4.
notional.var	character, column in x containing the amount of the underlying asset on which the payments are based.
notional	numeric, the notional amount for all pricing if there isn't a notional.var
recovery	numeric, the recovery rate for all pricing if there isn't a recovery.var

Value

a vector containing the change in upfront when there is a 1 basis point increase in spread, for each corresponding CDS contract.

Examples

x <- data.frame(date = c(as.Date("2014-04-22"), as.Date("2014-04-22")),
                currency = c("USD", "EUR"),
                tenor = c(5, 5),
                spread = c(120, 110),
                coupon = c(100, 100),
                recovery = c(0.4, 0.4),
                notional = c(10000000, 10000000),
                stringsAsFactors = FALSE)
spread_DV01(x)

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