Description Usage Arguments Value
PV01
to calculate present value 01 or present value of a stream of 1bp
payments
1 2 | PV01(x, principal.var = "principal", spread.var = "spread",
coupon.var = "coupon", notional.var = "notional")
|
x |
data frame, contains all the relevant columns. |
principal.var |
name of the column containing the principal or clean upfront values of the CDS |
spread.var |
character, column in x containing spread in basis points. |
coupon.var |
character, column in x containing coupon rates in basis points. It specifies the payment amount from the protection buyer to the seller on an annual basis. |
notional.var |
character, column in x containing the amount of the underlying asset on which the payments are based. |
Vector containing the PV01 values
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