spread_to_pd: Calcualte Default Probability with Spread

In creditr: Credit Default Swaps

Calcualte Default Probability with Spread

Description

spread_to_pd approximates the default probability at time given the spread

Usage

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

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