CalcPD: Calculates the Probablity of Default
In xvacode/xVA: Calculates Credit Risk Valuation Adjustments
CalcPD R Documentation
Calculates the Probablity of Default
Description
Calculates the probablity of the default on specific time points by using the spread of the corresponding credit curve and the loss given default
Usage
CalcPD(spread, LGD, time_points)
Arguments
spread
The spread based on the credit curve
LGD
The loss-given-default
time_points
The timepoints that the analysis is performed on
Value
A vector containing the probablity of default on the specified timepoints
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
xvacode/xVA documentation built on Oct. 23, 2022, 10:20 a.m.
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| CalcPD | R Documentation |
Calculates the Probablity of Default
Description
Calculates the probablity of the default on specific time points by using the spread of the corresponding credit curve and the loss given default
Usage
CalcPD(spread, LGD, time_points)
Arguments
spread |
The spread based on the credit curve |
LGD |
The loss-given-default |
time_points |
The timepoints that the analysis is performed on |
Value
A vector containing the probablity of default on the specified timepoints
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
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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