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creditr (version 0.6.1)

Credit Default Swaps in R

Description

Provides tools for pricing credit default swaps using C code for the International Swaps and Derivatives Association (ISDA) CDS Standard Model. See for more information about the model and for license details for the C code.

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Install

install.packages('creditr')

Monthly Downloads

445

Version

0.6.1

License

file LICENSE

Issues

0

Pull Requests

1

Stars

13

Forks

9

Maintainer

Yuanchu Dang

Last Published

August 12th, 2015

Functions in creditr (0.6.1)

spread_DV01

Calculate Spread Change
get_rates

Get interest rates from rates.RData or the Markit website
add_dates

Return CDS dates.
rates

LIBOR rates from 2004-01-01 to 2015-08-03
implied_RR

Calculates Implied Recovery Rate
spread_to_upfront

Calculate Upfront Payments
rec_risk_01

Calculate Recovery Rate Changes
show

Show Method
spread_to_pd

Calcualte Default Probability with Spread
CDS

Build a CDS class object given the input about a CDS contract.
separate_YMD

Separate Year/Month/Day
call_ISDA

call ISDA c function
get_raw_markit

Get raw data from Markit website.
check_inputs

Check whether inputs from the data frame are valid.
CS10

Calculate CS10
upfront_to_spread

Calculate Spread with a Given Upfront
download_FRED

Get Rates from FRED
adj_next_bus_day

Adjust to next business day.
creditr

The creditr package.
PV01

Calculate PV01
IR_DV01

Calculate IR.DV01
add_conventions

Return accounting conventions
build_rates

Build a data frame containing interest rates for CDS pricing
CDS, CDS-class

CDS Class
pd_to_spread

Calculate spread with Default Probability
summary

Summary Method
download_markit

Get rates from Markit