pd_to_spread

data frame, contains all the relevant columns.

character, column in x containing recovery rates. ISDA
model standard recovery rate asscumption is 0.4.

recovery.var

character, column in x containing currency.

currency.var

character, column in x containing tenors.

tenor.var

character, column in x containing date variable.

date.var

name of the column containing the probability of default in
  decimals.

pd.var


<code>pd_to_spread</code> to calculate spread using the probability of default,
tenor and recovery rate.


Provides tools for pricing credit default swaps using
C code for the International Swaps and Derivatives
Association (ISDA) CDS Standard Model. See
<http://www.cdsmodel.com/cdsmodel/documentation.html>
for more information about the model and
<http://www.cdsmodel.com/cdsmodel/cds-disclaimer.html>
for license details for the C code.

pd_to_spread: Calculate spread with Default Probability

Description

Usage

Arguments

Value

See Also