Usage
upfront_to_spread(x, currency.var = "currency", date.var = "date", coupon.var = "coupon", tenor.var = "tenor", maturity.var = "maturity", recovery.var = "recovery", upfront.var = "upfront", points.var = "ptsUpfront", isPriceClean = FALSE, notional = 1e+07, payAccruedAtStart = FALSE, payAccruedOnDefault = TRUE)
Arguments
x
data frame, contains all the relevant columns.
currency.var
character, column in x containing currency.
date.var
character, column in x containing date variable.
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.
upfront.var
is the character name of upfront column
points.var
character name of points Upfront column
isPriceClean
a boolean variable indicating whether the upfront is clean or dirty
notional
numeric variable indicating the notional value of the CDS contract
payAccruedAtStart
whether pay at start date the accrual amount
payAccruedOnDefault
whether pay in default scenario the accrual amount
recovery
numeric, the recovery rate for all pricing if there isn't a
recovery.var