SurvivalProbabilities: Builds a 'SurvivalProbabilitiesCurve'

In imanuelcostigan/fmbasics: Financial Market Building Blocks

Description

This will allow you to create a survival probability curve. This will typically be bootstrapped from a CDSCurve().

Usage

SurvivalProbabilities(values, d1, d2, specs)

Arguments

values	a vector of survival probabilities corresponding to each time step in tenors.
d1	a Date vector containing the as of date
d2	a Date vector containing the date to which the survival probability applies
specs	CDS curve specifications that inherits from CDSSpec()

Value

returns an object of type SurvivalProbabilitiesCurve

See Also

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

Examples

SurvivalProbabilities(0.97, Sys.Date(), Sys.Date() + 30, CDSSpec("Empty"))

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