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

Documentation

Manual: credule.pdf
Vignette: Credit Curve Bootstrapping

Maintainer: Bertrand Le Nezet <bertrand.lenezet at gmail.com>

Author(s): Bertrand Le Nezet*, Richard Brent*, John Burkardt*

Install package and any missing dependencies by running this line in your R console:

install.packages("credule")

Depends R (>= 2.14.1)
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Package credule
Materials
URL https://github.com/lampalork/credule
Task Views Finance
Version 0.1.3
Published 2015-08-05
License MIT + file LICENSE
BugReports https://github.com/lampalork/credule/issues
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks credule check results
Package source credule_0.1.3.tar.gz