CDS-class: CDS Class

In Yuanchu/creditr: Credit Default Swap

Description

Class definition for the CDS-Class

Slots

name

is the name of the reference entity. Optional.

contract

is the contract type, default SNAC

RED

alphanumeric code assigned to the reference entity. Optional.

date

is when the trade is executed, denoted as T. Default is Sys.Date.

spread

CDS par spread in bps.

maturity

date of the CDS contract.

tenor

of contract in number of years - 5, 3

coupon

quoted in bps. It specifies the payment amount from

recovery

in decimal. Default is 0.4.

currency

in which CDS is denominated.

principal

is the dirty upfront less the accrual.

accrual

is the accrued interest payment.

pd

is the approximate the default probability at time t given the spread.

price

upfront

is quoted in the currency amount. Since a standard contract is traded with fixed coupons, upfront payment is introduced to reconcile the difference in contract value due to the difference between the fixed coupon and the conventional par spread. There are two types of upfront, dirty and clean. Dirty upfront, a.k.a. Cash Settlement Amount, refers to the market value of a CDS contract. Clean upfront is dirty upfront less any accrued interest payment, and is also called the Principal.

spread.DV01

measures the sensitivity of a CDS contract mark-to-market to a parallel shift in the term structure of the par spread.

IR.DV01

is the change in value of a CDS contract for a 1 bp parallel increase in the interest rate curve. IRDV01 is, typically, a much smaller dollar value than spreadDV01 because moves in overall interest rates have a much smaller effect on the value of a CDS contract than does a move in the CDS spread itself.

rec.risk.01

is the dollar value change in market value if the recovery rate used in the CDS valuation were increased by 1%.

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