cds2 {CreditRisk} | R Documentation |
Calculate CDS rates starting from default intensities
cds2(t, T, tr, r, tint, int, R = 0.005, ...)
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 |
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.
An object of class data.frame
that contains the quantities calculated by cds
on T timetable.
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
cds2(t = c(1:20),T = c(1:20), tr = c(1:20), r = seq(0.01,0.06, len =20), tint = c(1:20), int= seq(0.01,0.06, len =20))