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.


Reference manual

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0.1.4 by Bertrand Le Nezet, 2 years ago

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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