upfront_to_spread: Calculate Spread with a Given Upfront

In creditr: Credit Default Swaps

Calculate Spread with a Given Upfront

Description

upfront_to_spread calculates conventional spread using the upfront or ptsUpfront values.

Usage

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.

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