Usage
spread_to_upfront(x, currency.var = "currency", notional = 1e+07, date.var = "date", spread.var = "spread", coupon.var = "coupon", tenor.var = "tenor", maturity.var = "maturity", recovery.var = "recovery", isPriceClean = FALSE)
Arguments
x
data frame, contains all the relevant columns.
currency.var
character, column in x containing currency.
notional
is the amount of the underlying asset on which the
payments are based. Default is 10000000, i.e. 10MM.
date.var
character, column in x containing date variable.
spread.var
character, column in x containing spread in basis points.
coupon.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.
tenor.var
character, column in x containing tenors.
maturity.var
character, column in x containing maturity date.
recovery.var
character, column in x containing recovery rates. ISDA
model standard recovery rate asscumption is 0.4.
isPriceClean
refers to the type of upfront calculated. It is
boolean. When TRUE, calculate principal only. When
FALSE, calculate principal + accrual.