Calcualte Default Probability with Spread

Description

spread_to_pd approximates the default probability at time given the spread

Usage

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spread_to_pd(x, recovery.var = "recovery", currency.var = "currency",
  tenor.var = "tenor", maturity.var = "maturity", date.var = "date",
  spread.var = "spread")

Arguments

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.

maturity.var

character, column in x containing maturity date.

date.var

character, column in x containing date variable.

spread.var

character, column in x containing spread in basis points.

Value

vector containing the probability of default, calculated by using the formula for probability of default given in the Bloomberg Manual

See Also

pd_to_spread