credit: Credit Default Swap Data from 2007 to 2009.
In knightsay/backtestGraphics: Interactive Graphics for Portfolio Data
credit R Documentation
Credit Default Swap Data from 2007 to 2009.
Description
This data frame contains the information of 260 credit default swaps (CDS) from
2007-01-02 to 2009-12-31. The data sets is actually a combination of CDS backtest
conducted under daily, weekly, monthly, and quartrly trading frequency. The strategy
column contains the trading frequency.
Format
A data frame with 7 variables
name = The name of each credit default swap (CDS).
date = The trading date.
sector = The sector the CDS belongs to.
strategy = The trading strategy of the credit default swap, including
"daily", "weekly", "monthly" and "quarterly".
gmv = The gross market value of the CDS held on that day.
nmv = The net market value of the CDS held on that day.
pnl = The P&L value (adjusted) of the CDS on that day.
knightsay/backtestGraphics documentation built on Jan. 27, 2025, 10:35 a.m.
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| credit | R Documentation |
Credit Default Swap Data from 2007 to 2009.
Description
This data frame contains the information of 260 credit default swaps (CDS) from 2007-01-02 to 2009-12-31. The data sets is actually a combination of CDS backtest conducted under daily, weekly, monthly, and quartrly trading frequency. The strategy column contains the trading frequency.
Format
A data frame with 7 variables
name = The name of each credit default swap (CDS).
date = The trading date.
sector = The sector the CDS belongs to.
strategy = The trading strategy of the credit default swap, including "daily", "weekly", "monthly" and "quarterly".
gmv = The gross market value of the CDS held on that day.
nmv = The net market value of the CDS held on that day.
pnl = The P&L value (adjusted) of the CDS on that day.
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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