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creditr (version 0.6.1)
Credit Default Swaps in R
Description
Provides tools for pricing credit default swaps using C code for the International Swaps and Derivatives Association (ISDA) CDS Standard Model. See
for more information about the model and
for license details for the C code.
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Link to current version
Version
Version
0.6.1
Install
install.packages('creditr')
Monthly Downloads
626
Version
0.6.1
License
file LICENSE
Issues
0
Pull Requests
1
Stars
13
Forks
9
Repository
https://github.com/davidkane9/creditr
Maintainer
Yuanchu Dang
Last Published
August 12th, 2015
Functions in creditr (0.6.1)
Search all functions
spread_DV01
Calculate Spread Change
get_rates
Get interest rates from rates.RData or the Markit website
add_dates
Return CDS dates.
rates
LIBOR rates from 2004-01-01 to 2015-08-03
implied_RR
Calculates Implied Recovery Rate
spread_to_upfront
Calculate Upfront Payments
rec_risk_01
Calculate Recovery Rate Changes
show
Show Method
spread_to_pd
Calcualte Default Probability with Spread
CDS
Build a
CDS
class object given the input about a CDS contract.
separate_YMD
Separate Year/Month/Day
call_ISDA
call ISDA c function
get_raw_markit
Get raw data from Markit website.
check_inputs
Check whether inputs from the data frame are valid.
CS10
Calculate CS10
upfront_to_spread
Calculate Spread with a Given Upfront
download_FRED
Get Rates from FRED
adj_next_bus_day
Adjust to next business day.
creditr
The creditr package.
PV01
Calculate PV01
IR_DV01
Calculate IR.DV01
add_conventions
Return accounting conventions
build_rates
Build a data frame containing interest rates for CDS pricing
CDS, CDS-class
CDS Class
pd_to_spread
Calculate spread with Default Probability
summary
Summary Method
download_markit
Get rates from Markit
