CalcPD | R Documentation |
Calculates the probablity of the default on specific time points by using the spread of the corresponding credit curve and the loss given default
CalcPD(spread, LGD, time_points)
spread |
The spread based on the credit curve |
LGD |
The loss-given-default |
time_points |
The timepoints that the analysis is performed on |
A vector containing the probablity of default on the specified timepoints
Tasos Grivas <tasos@openriskcalculator.com>
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