Package: creditr 0.6.2

creditr: Credit Default Swaps

Price credit default swaps using 'C' code from the International Swaps and Derivatives Association CDS Standard Model. See <https://www.cdsmodel.com/cdsmodel/documentation.html> for more information about the model and <https://www.cdsmodel.com/cdsmodel/cds-disclaimer.html> for license details for the 'C' code.

Authors:Yanrong Song [aut, cre], Zijie Zhu [aut], David Kane [aut], Heidi Chen [aut], Yuanchu Dang [aut], Yang Lu [aut], Kanishka Malik [aut], Skylar Smith [aut], International Swaps and Derivatives Association [cph]

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manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
creditr/json (API)

# Install 'creditr' in R:

install.packages('creditr', repos = c('https://yanrong-stacy-song.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/yanrong-stacy-song/creditr/issues

Datasets:

rates - LIBOR rates from 2004-01-01 to 2015-08-03

On CRAN:

4.94 score 35 scripts 579 downloads 12 exports 7 dependencies

Last updated from:9f070a1c0e. Checks:2 FAIL, 9 NOTE, 2 OK. Indexed: yes.

Target	Result	Time
linux-devel-arm64	FAIL	141
linux-devel-x86_64	NOTE	132
source / vignettes	OK	223
linux-release-arm64	FAIL	156
linux-release-x86_64	NOTE	162
macos-release-arm64	NOTE	166
macos-release-x86_64	NOTE	420
macos-oldrel-arm64	NOTE	172
macos-oldrel-x86_64	NOTE	253
windows-devel	NOTE	134
windows-release	NOTE	179
windows-oldrel	NOTE	119
wasm-release	OK	137

Exports:add_conventions add_dates CDS check_inputs CS10 get_rates IR_DV01 rec_risk_01 show spread_DV01 spread_to_pd summary

Dependencies:bitops lattice Rcpp RCurl XML xts zoo

Credit Default Swaps with R

Rendered fromcreditr.Rnwusingutils::Sweave

Last update: 2025-05-21
Started: 2024-12-15

Citation

Development and contributors

Readme and manuals

Help Manual

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