Credit Default Swaps in R

add_conventions | Return accounting conventions |

add_dates | Return CDS dates. |

adj_next_bus_day | Adjust to next business day. |

build_rates | Build a data frame containing interest rates for CDS pricing |

call_ISDA | call ISDA c function |

CDS | Build a 'CDS' class object given the input about a CDS... |

CDS-class | CDS Class |

check_inputs | Check whether inputs from the data frame are valid. |

creditr | The creditr package. |

CS10 | Calculate CS10 |

download_FRED | Get Rates from FRED |

download_markit | Get rates from Markit |

get_rates | Get interest rates from rates.RData or the Markit website |

get_raw_markit | Get raw data from Markit website. |

implied_RR | Calculates Implied Recovery Rate |

IR_DV01 | Calculate IR.DV01 |

pd_to_spread | Calculate spread with Default Probability |

PV01 | Calculate PV01 |

rates | LIBOR rates from 2004-01-01 to 2015-08-03 |

rec_risk_01 | Calculate Recovery Rate Changes |

separate_YMD | Separate Year/Month/Day |

show-methods | Show Method |

spread_DV01 | Calculate Spread Change |

spread_to_pd | Calcualte Default Probability with Spread |

spread_to_upfront | Calculate Upfront Payments |

summary-methods | Summary Method |

upfront_to_spread | Calculate Spread with a Given Upfront |

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