Calculate Spread with a Given Upfront

Description

upfront_to_spread calculates conventional spread using the upfront or ptsUpfront values.

Usage

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upfront_to_spread(x, currency.var = "currency", date.var = "date",
  coupon.var = "coupon", tenor.var = "tenor", maturity.var = "maturity",
  recovery.var = "recovery", upfront.var = "upfront",
  points.var = "ptsUpfront", isPriceClean = FALSE, notional = 1e+07,
  payAccruedAtStart = FALSE, payAccruedOnDefault = TRUE)

Arguments

x

data frame, contains all the relevant columns.

currency.var

character, column in x containing currency.

date.var

character, column in x containing date variable.

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.

upfront.var

is the character name of upfront column

points.var

character name of points Upfront column

isPriceClean

a boolean variable indicating whether the upfront is clean or dirty

notional

numeric variable indicating the notional value of the CDS contract

payAccruedAtStart

whether pay at start date the accrual amount

payAccruedOnDefault

whether pay in default scenario the accrual amount

recovery

numeric, the recovery rate for all pricing if there isn't a recovery.var

Value

a numeric indicating the spread.