cds2 {CreditRisk} | R Documentation |
Calculate Credit Default Swap rates
Description
Calculate CDS rates starting from default intensities
Usage
cds2(t, Tj, tr, r, tint, int, R = 0.005, ...)
Arguments
t |
premium timetable. |
Tj |
CDS maturities. |
tr |
interest rates timetable. |
r |
spot interest rates. |
tint |
intensity timetable. |
int |
default intensities timetable. |
R |
constant premium payment. |
... |
further arguments on |
Details
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.
Value
An object of class data.frame
that contains the quantities calculated by cds
on Tj timetable.
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
cds2(t = c(1:20),Tj = 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))
[Package CreditRisk version 0.1.7 Index]