credit


This data frame contains the information of 260 credit default swaps (CDS) from
2007-01-02 to 2009-12-31. The data sets is actually a combination of CDS backtest
conducted under daily, weekly, monthly, and quartrly trading frequency. The strategy
column contains the trading frequency.


data

backtest

Creates an interactive graphics
interface to visualize backtest results of different financial
instruments, such as equities, futures, and credit default swaps.
The package does not run backtests on the given data set but
displays a graphical explanation of the backtest results. Users can
look at backtest graphics for different instruments, investment
strategies, and portfolios. Summary statistics of different
portfolio holdings are shown in the left panel, and interactive
plots of profit and loss (P\&L), net market value (NMV) and
gross market value (GMV) are displayed in the right panel.

Miller Zijie Zhu

backtestGraphics

Interactive Graphics for Portfolio Data

credit function

A data frame with 7 variables
<ul>
<li> name = The name of each credit default swap (CDS).
   </li>
<li> date = The trading date.
   </li>
<li> sector = The sector the CDS belongs to.
   </li>
<li> strategy = The trading strategy of the credit default swap, including
         "daily", "weekly", "monthly" and "quarterly".
   </li>
<li> gmv = The gross market value of the CDS held on that day.
   </li>
<li> nmv = The net market value of the CDS held on that day.
   </li>
<li> pnl = The P&L value (adjusted) of the CDS on that day.
</li>
</ul>

credit: Credit Default Swap Data from 2007 to 2009.

Description

Arguments

Format