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

In davidkane9/creditr: Credit Default Swaps in R

Description

Build a CDS class object given the input about a CDS contract.

Usage

CDS(name = NULL, contract = "SNAC", RED = NULL, date = Sys.Date(),
  spread = NULL, maturity = NULL, tenor = NULL, coupon = 100,
  recovery = 0.4, currency = "USD", notional = 1e+07)

Arguments

name	is the name of the reference entity. Optional.
contract	is the contract type, default SNAC
RED	alphanumeric code assigned to the reference entity. Optional.
date	is when the trade is executed, denoted as T. Default is Sys.Date. The date format should be in "YYYY-MM-DD".
spread	CDS par spread in bps.
maturity	date of the CDS contract.
tenor	of contract. By default is set as 5
coupon	quoted in bps. It specifies the payment amount from the protection buyer to the seller on a regular basis. The default is 100 bps.
recovery	in decimal. Default is 0.4.
currency	in which CDS is denominated.
notional	is the amount of the underlying asset on which the payments are based. Default is 10000000, i.e. 10MM.

Value

a CDS class object including the input informtion on the contract as well as the valuation results of the contract.

Examples

x <- CDS(date = as.Date("2014-05-07"), tenor = 5, spread = 50, coupon = 100)

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