CDSMarkitSpec: Build a 'CDSMarkitSpec'

In imanuelcostigan/fmbasics: Financial Market Building Blocks

Description

A subclass of CDSSpec(), only for Markit sector curves. Note that the paramter rank is fixed to be "SNR", as per Markit's methodology documents

Usage

CDSMarkitSpec(rating, region, sector)

Arguments

rating	valid options are "AAA", "AA", "A", "BBB", "BB", "B", "CCC"
region	valid options are "AsiaExJapan", "EastEurope", "Europe", "Japan", "LatinAmerica", "NorthAmerica", "MiddleEast", "Oceania"
sector	valid options are "BasicMaterials", "ConsumerGoods", "ConsumerServices", "Energy", "Financials", "Government", "Healtcare", "Technology", "TeleCom", "Utilities"

Value

An object of type CDSMarkitSpec

See Also

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

Examples

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

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