credule: Credit Default Swap Functions
Version 0.1.3

It provides functions to bootstrap Credit Curves from market quotes (Credit Default Swap - CDS - spreads) and price Credit Default Swaps - CDS.

Package details

AuthorBertrand Le Nezet [cre, aut, cph], Richard Brent [ctb, cph], John Burkardt [ctb, cph]
Date of publication2015-08-05 09:30:46
MaintainerBertrand Le Nezet <[email protected]>
LicenseMIT + file LICENSE
Package repositoryView on CRAN
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credule documentation built on May 29, 2017, 6:10 p.m.