Description Usage Arguments Value
PV01 to calculate present value 01 or present value of a stream of 1bp
payments
1 2  | PV01(x, principal.var = "principal", spread.var = "spread",
  coupon.var = "coupon", notional.var = "notional")
 | 
x | 
 data frame, contains all the relevant columns.  | 
principal.var | 
 name of the column containing the principal or clean upfront values of the CDS  | 
spread.var | 
 character, column in x containing spread in basis points.  | 
coupon.var | 
 character, column in x containing coupon rates in basis points. It specifies the payment amount from the protection buyer to the seller on an annual basis.  | 
notional.var | 
 character, column in x containing the amount of the underlying asset on which the payments are based.  | 
Vector containing the PV01 values
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