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credule (version 0.1.4)

Credit Default Swap Functions

Description

It provides functions to bootstrap Credit Curves from market quotes (Credit Default Swap - CDS - spreads) and price Credit Default Swaps - CDS.

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Version

Install

install.packages('credule')

Monthly Downloads

215

Version

0.1.4

License

MIT + file LICENSE

Issues

1

Pull Requests

0

Stars

6

Forks

1

Maintainer

Bertrand Le Nezet

Last Published

May 10th, 2020

Functions in credule (0.1.4)

bootstrapCDS

Bootstrap a Credit Curve
priceCDS

Credit Default Swap Pricing
credule-package

Credit Default Swap pricing and Credit Curve bootstrapping