Calculate CDS rates starting from default intensities
Usage
cds2(t, T, tr, r, tint, int, R = 0.005, ...)
Arguments
t
premium timetable.
T
CDS maturities.
tr
interest rates timetable.
r
spot interest rates.
tint
intensity timetable.
int
default intensities timetable.
R
constant premium payment.
...
further arguments on cds.
Value
An object of class data.frame that contains the quantities calculated by cds
on T timetable.
Details
The function cds2 is based on cds but allows a more fine controll on maturities
and on discretization of r and int. In particular input (t, tr, tint)
can be of different length thanks to the function approx.
References
David Lando (2004) Credit Risk Modeling.
Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013)
Counterparty Credit Risk, Collateral and Funding.
With Pricing Cases for All Asset Classes