creditr
package provides useful tools for pricing credit
default swaps (CDS). It enables CDS class object which has slots as
name, contract, RED, date, spread, maturity, teno, coupon, recovery,
currency, notional, principal, accrual, pd, price, upfront,
spread.DV01, IR.DV01 and rec.risk.01, with S4 methods like update,
show and summary. It also supports data frame input and is able to
provide convenient calculation of key CDS statistics through functions
like CS10, IR.DV01, rec.risk.01 and spread.DV01. Of other major
functions, spread.to.upfront and upfront.to.spread are designed to
compute one of spread and upfront given the other; spread.to.pd and
pd.to.spread, similarly, can calculate one of spread and probability
of default given the other; add.dates and add.conventions compute a
series of dates information and accounting conventions related to CDS
pricing. Finally, get.rates and build.rates facilitates direct
fetching of relevant interest rates from online sources. Thanks to
ISDA Standard Model's Open Source license, we are able to create this
package for R users. You can find the Open Source licence of ISDA
Standard Model at "http://www.cdsmodel.com/cdsmodel/cds-disclaimer.html?"
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