creditrISDA: The creditrISDA package.
In davidkane9/creditrISDA: R Wrapper for ISDA CDS Standard Model for Evaluating Credit Default Swaps
Description
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.
Details
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.
davidkane9/creditrISDA documentation built on May 15, 2019, 1:13 a.m.
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Description
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.
Details
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.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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