Yuanchu/creditr: Credit Default Swap

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 CS10, IR.DV01, rec.risk.01 and spread.DV01. Of other major functions, spread.to.upfront and upfront.to.spread are designed to compute one of spread and upfront given the other; spread.to.pd and pd.to.spread, similarly, can calculate one of spread and probability of default given the other; add.dates and add.conventions compute a series of dates information and accounting conventions related to CDS pricing. Finally, get.rates and 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?"

Getting started

Package details

Authorc(person("Heidi", "Chen", role = c("aut"), email = "[email protected]"), person("Yuanchu", "Dang", role = c("aut"), email = "[email protected]"), person("David", "Kane", role = c("aut"), email = "[email protected]"), person("Yang", "Lu", role = c("aut", "cre"), email = "[email protected]"), person("Skylar", "Smith", role = c("aut"), email = "[email protected]"), person("Kanishka", "Malik", role = c("aut"), email = "[email protected]"), person("Miller Zijie", "Zhu", role = c("aut"), email = "[email protected]"))
MaintainerYuanchu Dang <[email protected]>, Zijie Zhu <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
Yuanchu/creditr documentation built on May 10, 2019, 1:11 a.m.