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 |

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