credule0.1.4 package

Credit Default Swap Functions

bootstrapCDS

Bootstrap a Credit Curve

credule-package

Credit Default Swap pricing and Credit Curve bootstrapping

priceCDS

Credit Default Swap Pricing

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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.

  • Maintainer: Bertrand Le Nezet
  • License: MIT + file LICENSE
  • Last published: 2020-05-10

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