CalcPD: Calculates the Probablity of Default

Description Usage Arguments Value Author(s)

View source: R/CalcPD.R

Description

Calculates the probablity of the default on specific time points by using the spread of the corresponding credit curve and the loss given default

Usage

1
CalcPD(spread, LGD, time_points)

Arguments

spread

The spread based on the credit curve

LGD

The loss-given-default

time_points

The timepoints that the analysis is performed on

Value

A vector containing the probablity of default on the specified timepoints

Author(s)

Tasos Grivas <tasos@openriskcalculator.com>


xVA documentation built on May 19, 2017, 6:10 p.m.

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