add.dates: Return CDS dates.

In Yuanchu/creditr: Credit Default Swap

Description

add.dates takes a data frame which contains dates, tenor (or maturity) and currency and returns appropriate dates for pricing a CDS contract.

Usage

add.dates(x, date.var = "date", maturity.var = "maturity",
  tenor.var = "tenor", currency.var = "currency")

Arguments

x	a data frame, containing all necessary information
date.var	character, column name of date variable
maturity.var	character, column name of maturity variable
tenor.var	character, column name of tenor variable
currency.var	character, column name of currency variable

Value

a date frame containing all the input columns, as well as eight more columns: stepinDate (T+1), valueDate (T+3 business days), startDate (accrual begin date), endDate (maturity), backstopDate (T-60 day look back from which 'protection' is effective), firstcouponDate (the date on which the first coupon is paid), pencouponDate (second to last coupon date), and baseDate (the starting date for the IR curve)

References

http://www.cdsmodel.com/cdsmodel/assets/cds-model/docs/c-code%20Key%20Functions-v1.pdf http://www.cdsmodel.com/assets/cds-model/docs/Standard%20CDS%20Examples.pdf

Examples

x <- data.frame(date = c(as.Date("2014-05-06"), as.Date("2014-05-07")),
                tenor = rep(5, 2), currency = c("JPY", "USD"))
add.dates(x)

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