Heidi Chen s.heidi.chen at

Yuanchu Dang yuanchu.dang at

David Kane dave.kane at

Yang Lu yang.lu2014 at

Kanishka Malik kanishkamalik at

Skylar Smith skylar.smith at

Zijie Zhu zijie.zhu at


A Credit Default Swap (CDS) is a financial swap agreement between two counterparties in which the buyer pays a fixed periodic coupon to the seller in exchange for protection in the case of a credit event. The International Swaps and Derivatives Association (ISDA) has created a set of standard terms for CDS contracts, the so-called ''Standard Model.'' This allows market participants to calculate cash settlement from conventional spread quotations, convert between conventional spread and upfront payments, and build the yield curve of a CDS. The creditr package implements the Standard Model, allowing users to value credit default swaps and to calculate various risk measures associated with these instruments.


For questions or advice regarding this creditr package, please email Yuanchu Dang at [email protected]

Yuanchu/creditr documentation built on May 10, 2019, 1:11 a.m.