Man pages for davidkane9/creditr
Credit Default Swaps in R

add_conventionsReturn accounting conventions
add_datesReturn CDS dates.
adj_next_bus_dayAdjust to next business day.
build_ratesBuild a data frame containing interest rates for CDS pricing
call_ISDAcall ISDA c function
CDSBuild a 'CDS' class object given the input about a CDS...
CDS-classCDS Class
check_inputsCheck whether inputs from the data frame are valid.
creditrThe creditr package.
CS10Calculate CS10
download_FREDGet Rates from FRED
download_markitGet rates from Markit
get_ratesGet interest rates from rates.RData or the Markit website
get_raw_markitGet raw data from Markit website.
implied_RRCalculates Implied Recovery Rate
IR_DV01Calculate IR.DV01
pd_to_spreadCalculate spread with Default Probability
PV01Calculate PV01
ratesLIBOR rates from 2004-01-01 to 2015-08-03
rec_risk_01Calculate Recovery Rate Changes
separate_YMDSeparate Year/Month/Day
show-methodsShow Method
spread_DV01Calculate Spread Change
spread_to_pdCalcualte Default Probability with Spread
spread_to_upfrontCalculate Upfront Payments
summary-methodsSummary Method
upfront_to_spreadCalculate Spread with a Given Upfront
davidkane9/creditr documentation built on May 15, 2019, 1:13 a.m.