credule: Credit Default Swap Functions

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

Author
Bertrand Le Nezet [cre, aut, cph], Richard Brent [ctb, cph], John Burkardt [ctb, cph]
Date of publication
2015-08-05 09:30:46
Maintainer
Bertrand Le Nezet <bertrand.lenezet@gmail.com>
License
MIT + file LICENSE
Version
0.1.3
URLs

View on CRAN

Man pages

bootstrapCDS
Bootstrap a Credit Curve
credule-package
Credit Default Swap pricing and Credit Curve bootstrapping
priceCDS
Credit Default Swap Pricing

Files in this package

credule
credule/inst
credule/inst/doc
credule/inst/doc/credule.html
credule/inst/doc/credule.R
credule/inst/doc/credule.Rmd
credule/src
credule/src/credule.c
credule/src/credule.h
credule/src/brent.c
credule/src/brent.h
credule/NAMESPACE
credule/R
credule/R/credule.R
credule/vignettes
credule/vignettes/credule.Rmd
credule/MD5
credule/build
credule/build/vignette.rds
credule/DESCRIPTION
credule/man
credule/man/priceCDS.Rd
credule/man/credule-package.Rd
credule/man/bootstrapCDS.Rd
credule/LICENSE