cdswap {GUIDE}

Calculate the spread in a credit default swap.

Description

Function to calculate the spread in a credit default swap.

Usage

cdswap()

Details

The user inputs are as follows:
Notional: to be entered in numbers for e.g. 1000000
Risk free rate: entered in decimals for e.g. 0.05 for 5 per cent
Maturity in yrs: entered for e.g. 5 for 5 years
Probability of Default: entered in decimals for e.g. 0.02 for 2 per cent
Default assumption: chosen amongst End of Q1/End of half year/End of Q3/End of Year
recovery rate: Clicking on "+/-" incrases/decreases the recovery rate.

Value

The spread in a credit default swap.

Author(s)

S Subramanian <[e-mail]>

References

John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.

See Also

curswapvalue,cdswap