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It provides functions to bootstrap Credit Curves from market quotes (Credit Default Swap - CDS - spreads) and price Credit Default Swaps - CDS.
| Version: | 0.1.4 |
| Depends: | R (≥ 2.14.1) |
| Suggests: | knitr |
| Published: | 2020-05-10 |
| DOI: | 10.32614/CRAN.package.credule |
| Author: | Bertrand Le Nezet [cre, aut, cph], Richard Brent [ctb, cph], John Burkardt [ctb, cph] |
| Maintainer: | Bertrand Le Nezet <bertrand.lenezet at gmail.com> |
| BugReports: | https://github.com/blenezet/credule/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/blenezet/credule |
| NeedsCompilation: | yes |
| In views: | Finance |
| CRAN checks: | credule results |
| Reference manual: | credule.pdf |
| Vignettes: |
Credit Curve Bootstrapping |
| Package source: | credule_0.1.4.tar.gz |
| Windows binaries: | r-devel: credule_0.1.4.zip, r-release: credule_0.1.4.zip, r-oldrel: credule_0.1.4.zip |
| macOS binaries: | r-release (arm64): credule_0.1.4.tgz, r-oldrel (arm64): credule_0.1.4.tgz, r-release (x86_64): credule_0.1.4.tgz, r-oldrel (x86_64): credule_0.1.4.tgz |
| Old sources: | credule archive |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.