CDS, CDS-class: CDS Class

Description

Class definition for the CDS-Class

Arguments

Slots

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.
spread: CDS par spread in bps.
maturity: date of the CDS contract.
tenor: of contract in number of years - 5, 3
coupon: quoted in bps. It specifies the payment amount from
recovery: in decimal. Default is 0.4.
currency: in which CDS is denominated.
principal: is the dirty upfront less the accrual.
accrual: is the accrued interest payment.
pd: is the approximate the default probability at time t given the spread.
price
upfront: is quoted in the currency amount. Since a standard contract is traded with fixed coupons, upfront payment is introduced to reconcile the difference in contract value due to the difference between the fixed coupon and the conventional par spread. There are two types of upfront, dirty and clean. Dirty upfront, a.k.a. Cash Settlement Amount, refers to the market value of a CDS contract. Clean upfront is dirty upfront less any accrued interest payment, and is also called the Principal.
spread.DV01: measures the sensitivity of a CDS contract mark-to-market to a parallel shift in the term structure of the par spread.
IR.DV01: is the change in value of a CDS contract for a 1 bp parallel increase in the interest rate curve. IRDV01 is, typically, a much smaller dollar value than spreadDV01 because moves in overall interest rates have a much smaller effect on the value of a CDS contract than does a move in the CDS spread itself.
rec.risk.01: is the dollar value change in market value if the recovery rate used in the CDS valuation were increased by 1%.