#' CDS Class
#'
#' Class definition for the \code{CDS-Class}
#'
#' @slot name is the name of the reference entity. Optional.
#' @slot contract is the contract type, default SNAC
#' @slot RED alphanumeric code assigned to the reference entity. Optional.
#'
#' @slot date is when the trade is executed, denoted as T. Default is
#' \code{Sys.Date}.
#' @slot spread CDS par spread in bps.
#' @slot maturity date of the CDS contract.
#' @slot tenor of contract in number of years - 5, 3
#' @slot coupon quoted in bps. It specifies the payment amount from
#' @slot recovery in decimal. Default is 0.4.
#' @slot currency in which CDS is denominated.
#' @slot principal is the dirty \code{upfront} less the \code{accrual}.
#' @slot accrual is the accrued interest payment.
#' @slot pd is the approximate the default probability at time t given the
#' \code{spread}.
#' @slot price
#' @slot 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.
#' @slot spread.DV01 measures the sensitivity of a CDS contract mark-to-market
#' to a parallel shift in the term structure of the par spread.
#' @slot IR.DV01 is the change in value of a CDS contract for a 1 bp parallel
#' increase in the interest rate curve. \code{IRDV01} is, typically, a much
#' smaller dollar value than \code{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.
#' @slot rec.risk.01 is the dollar value change in market value if the recovery
#' rate used in the CDS valuation were increased by 1\%.
#'
#' @name CDS, CDS-class
#' @aliases CDS, CDS-class
#' @docType class
#' @rdname CDS-class
#' @export
setClass("CDS",
representation = representation(
## name stuff
name = "character",
contract = "character",
RED = "character",
## basic info
date = "Date",
spread = "numeric",
maturity = "Date",
tenor = "numeric",
coupon = "numeric",
recovery = "numeric",
currency = "character",
notional = "numeric",
principal = "numeric",
accrual = "numeric",
pd = "numeric",
price = "numeric",
## calculated amount
upfront = "numeric",
spread.DV01 = "numeric",
IR.DV01 = "numeric",
rec.risk.01 = "numeric" ),
prototype = prototype(
## name stuff
name = character(),
contract = character(),
RED = character(),
## basic info
date = character(),
spread = numeric(),
maturity = character(),
tenor = numeric(),
coupon = numeric(),
recovery = numeric(),
currency = character(),
notional = numeric(),
principal = numeric(),
accrual = numeric(),
pd = numeric(),
price = numeric(),
## calculated amount
upfront = numeric(),
spread.DV01 = numeric(),
IR.DV01 = numeric(),
rec.risk.01 = numeric()
)
)
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