Provides tools for pricing credit default swaps using C code for the International Swaps and Derivatives Association (ISDA) CDS Standard Model. See for more information about the model and for license details for the C code.

Documentation

Manual: creditr.pdf
Vignette: Credit Default Swaps with R

Maintainer: Yuanchu Dang <yuanchu.dang at gmail.com>

Author(s): c(person("Heidi", "Chen", role = c("aut"), email = "s.heidi.chen at gmail.com"), person("Yuanchu", "Dang", role = c("aut"), email = "yuanchu.dang at gmail.com"), person("David", "Kane", role = c("aut"), email = "dave.kane at gmail.com"), person("Yang", "Lu", role = c("aut", "cre"), email = "yang.lu2014 at gmail.com"), person("Skylar", "Smith", role = c("aut"), email = "sws2 at williams.edu"), person("Kanishka", "Malik", role = c("aut"), email = "kanishkamalik at gmail.com"), person("Miller Zijie", "Zhu", role = c("aut"), email = "zijie.zhu at williams.com"))

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

install.packages("creditr")

Depends R (>= 3.1.0)
Imports utils, quantmod, devtools, methods, Rcpp(>=0.10.6), RCurl, XML, zoo, xts
Suggests testthat
Enhances
Linking to Rcpp
Reverse
depends
Reverse
imports
Reverse
suggests
Reverse
enhances
Reverse
linking to

Package creditr
Materials
URL https://github.com/davidkane9/creditr
Task Views
Version 0.6.1
Published 2015-08-12
License file LICENSE
BugReports
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks creditr check results
Package source creditr_0.6.1.tar.gz