PV01

data frame, contains all the relevant columns.

name of the column containing the principal or clean
  upfront values of the CDS

principal.var

character, column in x containing spread in basis points.

spread.var

character, column in x containing coupon rates in basis
points. It specifies the payment amount from the protection buyer to the
seller on an annual basis.

coupon.var

character, column in x containing the amount of the
underlying asset on which the payments are based.

notional.var


<code>PV01</code> to calculate present value 01 or present value of a stream of 1bp
payments


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.

PV01: Calculate PV01

Description

Usage

Arguments

Value