creditr (version 0.6.1)

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

Description

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

Usage

CDS(name = NULL, contract = "SNAC", RED = NULL, date = Sys.Date(), spread = NULL, maturity = NULL, tenor = NULL, coupon = 100, recovery = 0.4, currency = "USD", notional = 1e+07)

Arguments

name

is the name of the reference entity. Optional.

contract

is the contract type, default SNAC

RED

alphanumeric code assigned to the reference entity. Optional.

date

is when the trade is executed, denoted as T. Default is Sys.Date. The date format should be in "YYYY-MM-DD".

spread

CDS par spread in bps.

maturity

date of the CDS contract.

tenor

of contract. By default is set as 5

coupon

quoted in bps. It specifies the payment amount from the protection buyer to the seller on a regular basis. The default is 100 bps.

recovery

in decimal. Default is 0.4.

currency

in which CDS is denominated.

notional

is the amount of the underlying asset on which the payments are based. Default is 10000000, i.e. 10MM.

Value

a CDS class object including the input informtion on the contract as well as the valuation results of the contract.

Examples

x <- CDS(date = as.Date("2014-05-07"), tenor = 5, spread = 50, coupon = 100)