Credit Default Swaps in R

Provides tools for pricing credit default swaps using C code for the International Swaps and Derivatives Association (ISDA) CDS Standard Model. See < http://www.cdsmodel.com/cdsmodel/documentation.html> for more information about the model and < http://www.cdsmodel.com/cdsmodel/cds-disclaimer.html> for license details for the C code.


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Reference manual

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install.packages("creditr")

0.6.1 by Yuanchu Dang, 4 years ago


https://github.com/davidkane9/creditr


Browse source code at https://github.com/cran/creditr


Authors: c(person("Heidi" , "Chen" , role = c("aut") , email = "[email protected]") , person("Yuanchu" , "Dang" , role = c("aut") , email = "[email protected]") , person("David" , "Kane" , role = c("aut") , email = "[email protected]") , person("Yang" , "Lu" , role = c("aut" , "cre") , email = "[email protected]") , person("Skylar" , "Smith" , role = c("aut") , email = "[email protected]") , person("Kanishka" , "Malik" , role = c("aut") , email = "[email protected]") , person("Miller Zijie" , "Zhu" , role = c("aut") , email = "[email protected]"))


Documentation:   PDF Manual  


file LICENSE license


Imports utils, quantmod, devtools, methods, Rcpp, RCurl, XML, zoo, xts

Suggests testthat

Linking to Rcpp


See at CRAN