davidkane9/creditrISDA: R Wrapper for ISDA CDS Standard Model for Evaluating Credit Default Swaps
creditrISDA package contains the C code of ISDA Standard Model, which is developed for evaluating credit default swaps (CDS). After Big Bang Protocol came out in 2009 after the financial crysis, CDS trading is standardized and ISDA Standard Model becomes a widely used approach to price CDS and measure risk exposures of CDS. creditrISDA package contains the C code of the original open-source ISDA Model, as well as the R wrapper to call ISDA Model with R functions, using Rcpp. This package is intended to be a helper package for R package creditr, which is available on CRAN.
Getting started
Browse package contents
Package details |
|
|---|---|
| Author | c(person("Heidi", "Chen", role = c("aut"), email = "s.heidi.chen@gmail.com"), person("Yuanchu", "Dang", role = c("aut"), email = "yuanchu.dang@williams.edu"), person("David", "Kane", role = c("aut"), email = "dave.kane@gmail.com"), person("Yang", "Lu", role = c("aut", "cre"), email = "yang.lu2014@gmail.com"), person("Skylar", "Smith", role = c("aut"), email = "sws2@williams.edu"), person("Kanishka", "Malik", role = c("aut"), email = "kanishkamalik@gmail.com"), person("Miller Zijie", "Zhu", role = c("aut"), email = "zijie.zhu@williams.com")) |
| Maintainer | David Kane <dave.kane@gmail.com> |
| License | ISDA CDS STANDARD MODEL PUBLIC LICENSE + file LICENSE |
| Version | 0.1-1 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
|
