cdsdata

<ul>
<li><code>Maturity</code>: Maturities of cds contracts expressed in years;</li>
<li><code>Par.Spread</code>: CDS rates quotes, spread that nullify the present value of the two legs;</li>
<li><code>ED.Zero.Curve</code>: EURIBOR interest rates (risk-free)</li>
</ul>

datasets

Evaluation of default probability of sovereign and corporate entities based on structural or intensity based models and calibration on market Credit Default Swap quotes. References: Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013) <doi:10.1002/9781118818589>. Print ISBN: 9780470748466, Online ISBN: 9781118818589. © 2013 John Wiley & Sons Ltd.

Alessandro Cimarelli

CreditRisk

Evaluation of Credit Risk with Structural and Reduced Form
Models

Nicolò Manca

cdsdata function

An object of class <code>"data.frame"</code>.

cdsdata: CDS quotes from market

Description

Usage

Arguments

Format