CalcPD {xVA}

Calculates the Probablity of Default

Description

Calculates the probablity of the default on specific time points by using the spread of the corresponding credit curve and the loss given default

Usage

CalcPD(spread, LGD, time_points)

Arguments

spread

The spread based on the credit curve

LGD

The loss-given-default

time_points

The timepoints that the analysis is performed on

Value

A vector containing the probablity of default on the specified timepoints

Author(s)

Tasos Grivas <[e-mail]>