Access to creditr from GitHub

## not run
library(devtools)
install_github("yuanchu/creditr")
library(creditr)

S4 design: CDS class

library(creditr)
x <- CDS(date   = as.Date("2014-05-07"),
         tenor  = 5,
         spread = 50,
         coupon = 100)
slotNames(x)

##  [1] "name"        "contract"    "RED"         "date"        "spread"     
##  [6] "maturity"    "tenor"       "coupon"      "recovery"    "currency"   
## [11] "notional"    "principal"   "accrual"     "pd"          "price"      
## [16] "upfront"     "spread.DV01" "IR.DV01"     "rec.risk.01"

• Spread, upfront, and default probability.

• Exposure measurements.

• Real time data and other supportive layers.

\(spread.to.upfront\)

spread.to.upfront(data.frame(date     = Sys.Date(),
                             spread   = 160,
                             tenor    = 5,
                             recovery = 0.4,
                             coupon   = 100,
                             currency = "USD"))

## [1] 259021

\(upfront.to.spread\)

upfront.to.spread(data.frame(date     = Sys.Date(),
                             upfront  = 1000000,
                             tenor    = 5,
                             recovery = 0.4,
                             coupon   = 100,
                             currency = "USD"))

## [1] 335.7157

\(spread.to.pd\)

spread.to.pd(data.frame(date     = Sys.Date(),
                        spread   = 160,
                        tenor    = 5,
                        recovery = 0.4, 
                        currency = "USD"))

## [1] 0.1279975

\(pd.to.spread\)

pd.to.spread(data.frame(date     = Sys.Date(),
                        pd       = 0.1,
                        tenor    = 5,
                        recovery = 0.4, 
                        currency = "USD"))

## [1] 123.0821

\(spread.DV01\)

# calculates the change in upfront value when the spread rises
# by 1 basis point.

x <- data.frame(date     = as.Date(c("2014-04-22", "2014-04-22")),
                currency = c("USD", "EUR"),
                tenor    = c(5, 5),
                spread   = c(120, 110),
                coupon   = c(100, 100),
                recovery = c(0.4, 0.4),
                notional = c(1e7, 1e7))

spread.DV01(x)

## [1] 4768.084 4878.017

\(CS10\)

# calculates the change in upfront value when the spread rises 10%

CS10(x)

## [1] 56952.65 53430.42

\(IR.DV01\)

# calculate the change in upfront when there is a 1 basis point
# increase in interest rate

IR.DV01(x)

## [1] -25.15333 -12.85976

\(rec.risk.01\)

# calculates the amount of change in upfront when there is a 1%
# increase in recovery rate

rec.risk.01(x)

## [1] -82.18602 -38.82727

• Dates and conventions.

• Yield curves download from Markit and FRED

• Term Structure:
• 

• Rates Curve:
• 

• Cash Flow Diagram:
• 

Yuanchu Dang

yuanchu.dang@williams.edu

Zijie Zhu

zijie.zhu@williams.edu