CDSCurve: Builds a 'CDSCurve'

In imanuelcostigan/fmbasics: Financial Market Building Blocks

Description

This will allow you to create an instance of a CDS curve.

Usage

CDSCurve(reference_date, tenors, spreads, lgd, premium_frequency, specs)

Arguments

reference_date	the curve's reference date as a base::Date
tenors	a numeric vector of pillar points time steps expressed in years
spreads	a numeric vector of creadit default spreads expressed in decimals. Must be the same length as tenors
lgd	the loss given default associated with the curve as supplied by Markit and expressed as a decimal value
premium_frequency	represents the number of premiums payments per annum expressed as an integer. Must be one of 1, 2, 4 or 12.
specs	CDS curve specifications that inherits from CDSSpec()

Value

An object of type CDSCurve

See Also

Other CDS curve helpers: CDSMarkitSpec, CDSSingleNameSpec, CDSSpec, SurvivalProbabilities, ZeroHazardRate, is.CDSCurve, is.CDSSpec

Examples

curve_specs <- CDSMarkitSpec(
  rating = "AAA",
  region = "Japan",
  sector = "Utilities"
)

CDSCurve(
  as.Date("2019-06-29"),
  tenors = c(1, 3, 5, 7),
  spreads = c(0.0050, 0.0070, 0.0090, 0.0110),
  lgd = 0.6,
  premium_frequency = 4,
  specs = curve_specs
)

imanuelcostigan/fmbasics documentation built on Dec. 6, 2019, 9:48 a.m.