Credit Default Swap Functions

It provides functions to bootstrap Credit Curves from market quotes (Credit Default Swap - CDS - spreads) and price Credit Default Swaps - CDS.


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Reference manual

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install.packages("credule")

0.1.3 by Bertrand Le Nezet, 4 years ago


https://github.com/lampalork/credule


Report a bug at https://github.com/lampalork/credule/issues


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


Authors: Bertrand Le Nezet [cre, aut, cph] , Richard Brent [ctb, cph] , John Burkardt [ctb, cph]


Documentation:   PDF Manual  


Task views: Empirical Finance


MIT + file LICENSE license


Suggests knitr


See at CRAN