implied.RR: Calculates Implied Recovery Rate
In Yuanchu/creditr: Credit Default Swap

Description Usage Arguments Value

implied.RR that calculates the recovery rate implied by the CDS spread and probability of default (pd) by using the ISDA model. This takes a data frame of inputs and returns a vector of the same length.

1 2	implied.RR(x, date.var = "date", tenor.var = "tenor", maturity.var = "maturity", spread.var = "spread", pd.var = "pd")

`x`	data frame, contains all the relevant columns.
`date.var`	character, column in x containing date variable.
`tenor.var`	character, column in x containing tenors.
`maturity.var`	character, column in x containing maturity date.
`spread.var`	character, column in x containing spread in basis points.
`pd.var`	name of the column containing the probability of default rates.

implied recovery rate in percentage based on the general approximation for a probability of default in the Bloomberg manual. The actual calculation uses a complicated bootstrapping process, so the results may be marginally different.

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