Credit Default Swaps

Documentation for package ‘creditr’ version 0.6.2

creditr-package	The creditr package.
add_conventions	Return accounting conventions
add_dates	Return CDS dates.
adj_next_bus_day	Adjust to next business day.
build_rates	Build a data frame containing interest rates for CDS pricing
call_ISDA	call ISDA c function
CDS	Build a 'CDS' class object given the input about a CDS contract.
CDS,	CDS Class
CDS, CDS-class	CDS Class
CDS-class	CDS Class
check_inputs	Check whether inputs from the data frame are valid.
creditr	The creditr package.
CS10	Calculate CS10
download_FRED	Get Rates from FRED
download_markit	Get rates from Markit
get_rates	Get interest rates from rates.RData or the Markit website
get_raw_markit	Get raw data from Markit website.
implied_RR	Calculates Implied Recovery Rate
IR_DV01	Calculate IR.DV01
pd_to_spread	Calculate spread with Default Probability
PV01	Calculate PV01
rates	LIBOR rates from 2004-01-01 to 2015-08-03
rec_risk_01	Calculate Recovery Rate Changes
separate_YMD	Separate Year/Month/Day
show	Show Method
show-method	Show Method
spread_DV01	Calculate Spread Change
spread_to_pd	Calcualte Default Probability with Spread
spread_to_upfront	Calculate Upfront Payments
summary	Summary Method
summary-method	Summary Method
upfront_to_spread	Calculate Spread with a Given Upfront