Credit Derivatives Category Group

1. CapeTools Credit Default Swaps

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   General Description

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   Functions to create regular and binary credit default swap (CDS) objects. These objects can then be queried and priced via functions present within this category.
   
   You can query for the following information :
   
   

   • Dirty price
   • Clean price
   • Accrued premium
   • Payoff value
   • Par premium value
   • Premium leg value
   • Rho (risk) of the recovery rate (one percent additive change)
   • BPV of the risk-free curve

   
   
   
   You can also price an option on a CDS contract.
   
   
   
   
2. CapeTools Credit Default Swaps (Bonds/FRN)

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   General Description

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   Functions to create regular and binary credit default swap (CDS) objects based on data extracted from a Bond, Floating leg or Fixed leg object. These CDS objects can then be queried and priced via functions present within this category.
   
   The advantages of these functions over those present within the CapeTools Credit Default Swaps category of functions is that you specify the window in which you would like protection upon your chosen instrument.
   
   The chosen instrument can be one of the objects constructed from the following functions or categories :
   
   

   • CreateFloatLeg
   • CreateAmortFloatLeg
   • CreateFixedRateLeg
   • CreateAmortFixLeg
   • CapeTools Bonds
   • CapeTools Bonds (Yield)
   • CapeTools Bonds (Price)

   
   
   You can query for the following information :
   
   

   • Dirty price
   • Clean price
   • Accrued premium
   • Payoff value
   • Par premium value
   • Premium leg value
   • Rho (risk) of the recovery rate (one percent additive change)
   • BPV of the risk-free curve

   
   
   
   You can also price an option on the CDS object.
   
   
   
   
3. CapeTools Credit Link Bond/Notes

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   General Description

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   Functions to create regular and binary credit link bond/notes (CLN) objects based on data extracted from a Bond, Floating leg or Fixed leg object. These CLN objects can then be queried and priced via functions present within this category.
   
   A CLN object is simply the sum of the price of the instrument (priced using the risky curve) plus the value of the default leg over the protection period.
   
   The chosen instrument can be one of the objects constructed from the following functions or categories :
   
   

   • CreateFloatLeg
   • CreateAmortFloatLeg
   • CreateFixedRateLeg
   • CreateAmortFixLeg
   • CapeTools Bonds
   • CapeTools Bonds (Yield)
   • CapeTools Bonds (Price)

   
   
   You can query for the following information :
   
   

   • FairValue
   • Accrued interest
   • Fair value + accrued interest
   • Payoff value
   • Risky PV of the instrument
   • Rho (risk) of the recovery rate (one percent additive change)