Description Usage Arguments Value
implied_RR
that calculates the recovery rate implied by the CDS spread
and probability of default (pd) by using the ISDA model. This takes a data
frame of inputs and returns a vector of the same length.
1 2 | implied_RR(x, date.var = "date", tenor.var = "tenor",
maturity.var = "maturity", spread.var = "spread", pd.var = "pd")
|
x |
data frame, contains all the relevant columns. |
date.var |
character, column in x containing date variable. |
tenor.var |
character, column in x containing tenors. |
maturity.var |
character, column in x containing maturity date. |
spread.var |
character, column in x containing spread in basis points. |
pd.var |
name of the column containing the probability of default rates. |
implied recovery rate in percentage based on the general approximation for a probability of default in the Bloomberg manual. The actual calculation uses a complicated bootstrapping process, so the results may be marginally different.
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