spread_to_upfront: Calculate Upfront Payments

In creditr: Credit Default Swaps

Calculate Upfront Payments

Description

spread_to_upfront takes a dataframe of variables on CDSs to return a vector of upfront values. Note that all CDS in the data frame must be denominated in the same currency.

Usage

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

Arguments

x	data frame, contains all the relevant columns.
currency.var	character, column in x containing currency.
notional	is the amount of the underlying asset on which the payments are based. Default is 10000000, i.e. 10MM.
date.var	character, column in x containing date variable.
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.
tenor.var	character, column in x containing tenors.
maturity.var	character, column in x containing maturity date.
recovery.var	character, column in x containing recovery rates. ISDA model standard recovery rate asscumption is 0.4.
isPriceClean	refers to the type of upfront calculated. It is boolean. When TRUE, calculate principal only. When FALSE, calculate principal + accrual.

Value

vector of upfront values (with accrual) in the same order

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