spread_to_pd: Calcualte Default Probability with Spread
In creditr: Credit Default Swaps in R

Description Usage Arguments Value See Also

spread_to_pd approximates the default probability at time given the spread

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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")

`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.