R/creditr-package.R

In creditr: Credit Default Swaps in R

#' The creditr package.
#' 
#' \code{creditr} package provides useful tools for pricing credit default swaps
#' (CDS). It enables CDS class object which has slots as name, contract, RED, 
#' date, spread, maturity, teno, coupon, recovery, currency, notional, 
#' principal, accrual, pd, price, upfront, spread.DV01, IR.DV01 and rec.risk.01,
#' with S4 methods like update, show and summary. It also supports data frame 
#' input and is able to provide convenient calculation of key CDS statistics 
#' through functions like \code{CS10}, \code{IR.DV01}, \code{rec_risk_01} and 
#' \code{spread_DV01}. Of other major functions, \code{spread_to_upfront} and 
#' \code{upfront_to_spread} are designed to compute one of spread and upfront 
#' given the other; \code{spread_to_pd} and \code{pd_to_spread}, similarly, can 
#' calculate one of spread and probability of default given the other; 
#' \code{add_dates} and \code{add_conventions} compute a series of dates 
#' information and accounting conventions related to CDS pricing. Finally, 
#' \code{get_rates} and \code{build_rates} facilitates direct fetching of 
#' relevant interest rates from online sources. Thanks to ISDA Standard Model's 
#' Open Source license, we are able to create this package for R users. You can 
#' find the Open Source licence of ISDA Standard Model at 
#' "http://www.cdsmodel.com/cdsmodel/cds-disclaimer.html?"
#' 
#' @name creditr
#' @docType package
#'   
#' @useDynLib creditr
#'   
#' @exportPattern "^[[:alpha:]]+"
#'   
#' @exportClass CDS
#' @exportMethod summary show
#'   
#' @import quantmod
#' @import devtools
#' @import methods
#' @import zoo
#' @import Rcpp
#' @import RCurl
#' @import XML
#' @import xts
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