cds {CreditRisk}R Documentation

Calculates Credit Default Swap rates

Description

Calculates CDS rates starting form default intensities.

Usage

cds(t, int, r, R = 0.005, RR = 0.4, simplified = FALSE)

Arguments

t

premium timetable.

int

deterministic default intensities vector.

r

spot interest rates.

R

constant premium payments, value that the buyer pays in each t_i.

RR

recovery rate on the underline bond, default value is 40%.

simplified

logic argument. If FALSE calculates the CDS rates using the semplified version of calculations, if TRUE use the complete version.

Details

Value

cds returns an object of class data.frame with columns, for esch date t_i the value of survival probability, the premium and protection leg, CDS rate and CDS price.

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

Examples

cds(t = seq(0.5, 10, by = 0.5), int = seq(.01, 0.05, len = 20),
r = seq(0,0.02, len=20), R = 0.005, RR = 0.4, simplified = FALSE)


[Package CreditRisk version 0.1.3 Index]