Man pages for Yuanchu/creditr
Credit Default Swap

add.conventionsReturn accounting conventions
add.datesReturn CDS dates.
adj.next.bus.dayAdjust to next business day.
build.ratesBuild a data frame containing interest rates for CDS pricing
call.ISDAcall ISDA c function
CDSBuild a 'CDS' class object given the input about a CDS...
CDS-classCDS Class
check.inputsCheck whether inputs from the data frame are valid.
creditrThe creditr package.
CS10Calculate CS10
download.FREDGet Rates from FRED
download.markitGet rates from Markit
get.ratesGet interest rates from rates.RData or the Markit website
get.raw.markitGet raw data from Markit website.
implied.RRCalculates Implied Recovery Rate
IR.DV01Calculate IR.DV01
pd.to.spreadCalculate spread with Default Probability
PV01Calculate PV01
ratesLIBOR rates from 2004-01-01 to 2014-08-23
rec.risk.01Calculate Recovery Rate Changes
separate.YMDSeparate Year/Month/Day
show-methodsShow Method
spread.DV01Calculate Spread Change
spread.to.pdCalcualte Default Probability with Spread
spread.to.upfrontCalculate Upfront Payments
summary-methodsSummary Method
upfront.to.spreadCalculate Spread with a Given Upfront
Yuanchu/creditr documentation built on June 3, 2017, 10:44 a.m.