Man pages for Yuanchu/creditr
Credit Default Swap
| add.conventions | Return accounting conventions |
| add.dates | Return CDS dates. |
| adj.next.bus.day | Adjust to next business day. |
| build.rates | Build a data frame containing interest rates for CDS pricing |
| call.ISDA | call ISDA c function |
| CDS | Build a 'CDS' class object given the input about a CDS... |
| CDS-class | CDS Class |
| check.inputs | Check whether inputs from the data frame are valid. |
| creditr | The creditr package. |
| CS10 | Calculate CS10 |
| download.FRED | Get Rates from FRED |
| download.markit | Get rates from Markit |
| get.rates | Get interest rates from rates.RData or the Markit website |
| get.raw.markit | Get raw data from Markit website. |
| implied.RR | Calculates Implied Recovery Rate |
| IR.DV01 | Calculate IR.DV01 |
| pd.to.spread | Calculate spread with Default Probability |
| PV01 | Calculate PV01 |
| rates | LIBOR rates from 2004-01-01 to 2014-08-23 |
| rec.risk.01 | Calculate Recovery Rate Changes |
| separate.YMD | Separate Year/Month/Day |
| show-methods | Show Method |
| spread.DV01 | Calculate Spread Change |
| spread.to.pd | Calcualte Default Probability with Spread |
| spread.to.upfront | Calculate Upfront Payments |
| summary-methods | Summary Method |
| upfront.to.spread | Calculate Spread with a Given Upfront |
