Credit Curve Bootstrapping Methodology | Hazard rate and Survival Probability | Valuing the Premium Leg | Valuing the Default Leg | Calibration of the Credit Curve | Market data | Credit Curves | RadioShack Corp, 27 May 2014 | Pfizer Inc, 27 May 2014 | Conclusion | References
Package: credule 0.1.3
credule: Credit Default Swap Functions
It provides functions to bootstrap Credit Curves from market quotes (Credit Default Swap - CDS - spreads) and price Credit Default Swaps - CDS.
Authors:
credule_0.1.3.tar.gz
credule_0.1.3.zip(r-4.7-x86_64)credule_0.1.3.zip(r-4.7-arm64)credule_0.1.3.zip(r-4.6-x86_64)credule_0.1.3.zip(r-4.6-arm64)credule_0.1.3.zip(r-4.5-x86_64)
credule_0.1.3.tgz(r-4.6-x86_64)credule_0.1.3.tgz(r-4.6-arm64)credule_0.1.3.tgz(r-4.5-x86_64)credule_0.1.3.tgz(r-4.5-arm64)
credule_0.1.3.tar.gz(r-4.7-arm64)credule_0.1.3.tar.gz(r-4.7-x86_64)credule_0.1.3.tar.gz(r-4.6-arm64)credule_0.1.3.tar.gz(r-4.6-x86_64)
credule_0.1.3.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
credule/json (API)
| # Install 'credule' in R: |
| install.packages('credule', repos = c('https://blenezet.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/lampalork/credule/issues
Last updated from:59d54edc4c. Checks:15 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 115 | ||
| linux-devel-x86_64 | OK | 100 | ||
| source / vignettes | OK | 137 | ||
| linux-release-arm64 | OK | 117 | ||
| linux-release-x86_64 | OK | 404 | ||
| macos-release-arm64 | OK | 166 | ||
| macos-release-x86_64 | OK | 265 | ||
| macos-oldrel-arm64 | OK | 207 | ||
| macos-oldrel-x86_64 | OK | 296 | ||
| windows-devel-arm64 | OK | 333 | ||
| windows-devel-x86_64 | OK | 101 | ||
| windows-release-arm64 | OK | 343 | ||
| windows-release-x86_64 | OK | 106 | ||
| windows-oldrel-x86_64 | OK | 71 | ||
| wasm-release | OK | 86 |
Exports:bootstrapCDSpriceCDS
Dependencies:
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Credit Default Swap pricing and Credit Curve bootstrapping | credule-package |
| Bootstrap a Credit Curve | bootstrapCDS |
| Credit Default Swap Pricing | priceCDS |