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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creditr.pdf |creditr.html✨
creditr/json (API)

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

Peer review:

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

Datasets:
  • rates - LIBOR rates from 2004-01-01 to 2015-08-03

On CRAN:

4.67 score 31 scripts 125 downloads 24 exports 102 dependencies

Last updated 2 hours agofrom:a7ef33fd32. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 27 2024
R-4.5-win-x86_64OKDec 27 2024
R-4.5-linux-x86_64OKDec 27 2024
R-4.4-win-x86_64OKDec 27 2024
R-4.4-mac-x86_64OKDec 27 2024
R-4.4-mac-aarch64OKDec 27 2024
R-4.3-win-x86_64OKDec 27 2024
R-4.3-mac-x86_64OKDec 27 2024
R-4.3-mac-aarch64OKDec 27 2024

Exports:add_conventionsadd_datesadj_next_bus_daybuild_ratescall_ISDACDScheck_inputsCS10download_FREDdownload_markitget_ratesget_raw_markitimplied_RRIR_DV01pd_to_spreadPV01rec_risk_01separate_YMDshowspread_DV01spread_to_pdspread_to_upfrontsummaryupfront_to_spread

Dependencies:askpassbase64encbitopsbrewbriobslibcachemcallrclicliprcommonmarkcpp11crayoncredentialscurldescdevtoolsdiffobjdigestdownlitellipsisevaluatefansifastmapfontawesomefsgertghgitcredsgluehighrhtmltoolshtmlwidgetshttpuvhttr2inijquerylibjsonliteknitrlaterlatticelifecyclemagrittrmemoisemimeminiUIopensslpillarpkgbuildpkgconfigpkgdownpkgloadpraiseprettyunitsprocessxprofvispromisespspurrrquantmodR6raggrappdirsrcmdcheckRcppRCurlremotesrlangrmarkdownroxygen2rprojrootrstudioapirversionssasssessioninfoshinysourcetoolsstringistringrsyssystemfontstestthattextshapingtibbletinytexTTRurlcheckerusethisutf8vctrswaldowhiskerwithrxfunXMLxml2xopenxtablextsyamlzipzoo

Credit Default Swaps with R

Rendered fromcreditr.Rnwusingutils::Sweaveon Dec 27 2024.

Last update: 2024-12-27
Started: 2024-12-15