as_SurvivalProbabilities.CDSCurve: Bootstraps Survival Probabilitie from a CDS curve Using...

In imanuelcostigan/fmbasics: Financial Market Building Blocks

Description

Bootstraps Survival Probabilitie from a CDS curve Using credule package. The output of bootstrapping is a vector of cumulative survival probabilities.

Usage

## S3 method for class 'CDSCurve'
as_SurvivalProbabilities(x, zero_curve,
  num_timesteps_pa = 12, accrued_premium = TRUE, ...)

Arguments

x	An object of type CDSCurve
zero_curve	An object of type ZeroCurve
num_timesteps_pa	It represents the number of timesteps used to perform the numerical integral required while computing the default leg value. It is shown that a monthly discretisation usually gives a good approximation (Ref. Valuation of Credit Default Swaps, Dominic O Kane and Stuart Turnbull)
accrued_premium	If set to TRUE, the accrued premium will be taken into account in the calculation of the premium leg value.
...	other parameters passed to methods

Value

An object of type SurvivalProbabilitiesCurve

an SurvivalProbabilities object

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