README.md

In davidkane9/creditr: Credit Default Swaps in R

Authors

Heidi Chen s.heidi.chen at gmail.com

Yuanchu Dang yuanchu.dang at williams.edu

David Kane dave.kane at gmail.com

Yang Lu yang.lu2014 at gmail.com

Kanishka Malik kanishkamalik at gmail.com

Skylar Smith skylar.smith at williams.edu

Zijie Zhu zijie.zhu at williams.edu

About

A Credit Default Swap (CDS) is a financial swap agreement between two counterparties in which the buyer pays a fixed periodic coupon to the seller in exchange for protection in the case of a credit event. The International Swaps and Derivatives Association (ISDA) has created a set of standard terms for CDS contracts, the so-called ''Standard Model.'' This allows market participants to calculate cash settlement from conventional spread quotations, convert between conventional spread and upfront payments, and build the yield curve of a CDS. The creditr package implements the ISDA Standard Model, allowing users to value credit default swaps and to calculate various risk measures associated with these instruments.

Acknowledgements

Thanks to Jeff Enos for suggesting the package name.

davidkane9/creditr documentation built on May 15, 2019, 1:13 a.m.