CapeTools Credit Default Swaps (Bonds/FRN)
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In total there are 21 functions present within the CapeTools Credit Default Swaps (Bonds/FRN) category of functions.
General Description
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 :
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.
Function list.
- CDSBinaryBondObj - Creates a Binary Credit Default Swap object from a bond object.
- CDSBinaryFIXLegObj - Creates a Binary Credit Default Swap object from a fixed rate leg object.
- CDSBinaryFLTLegObj - Creates a Binary Credit Default Swap object from a floating leg object.
- CDSBondObj - Creates a Credit Default Swap object from a bond object.
- CDSFIXLegObj - Creates a Credit Default Swap object from a fixed rate leg object.
- CDSFLTLegObj - Creates a Credit Default Swap object from a floating leg object.
- CDSLEGAccPremUponDefault - Returns the Accrued Premium (upon default) array for each premium period from a Credit Default Swap object.
- CDSLEGAccPremium - Computes the accrued premium from a Credit Default Swap Leg object.
- CDSLEGBPV - Computes the BPV of the Credit Default Swap Leg object.
- CDSLEGCleanPrice - Computes the clean price from a Credit Default Swap Leg object.
- CDSLEGDirtyPrice - Computes the dirty price from a Credit Default Swap Leg object.
- CDSLEGExpectedPremiums - Returns the expected Premium values ( DayCountFraction * Notional * PremiumSpread * ProbabilityOfSurvival ) for each premium period from a Credit Default Swap Leg object.
- CDSLEGFixedPremiums - Returns a detailed table of the fixed premiums calculation.
- CDSLEGNoDefaultPremiums - Returns the NoDefault Premium values ( DayCountFraction * Notional * PremiumSpread ) for each premium period from a Credit Default Swap Leg object.
- CDSLEGOption - Computes the premium and any of the first or second order derivatives of an European option on a credit default leg spread.
- CDSLEGPVPremiums - Returns the PV Premium values : [ ( DayCountFraction * Notional * PremiumSpread * ProbabilityOfSurvival * DCF ) + AccuredPremiumUponDefault ] for each premium period from a Credit Default Swap Leg object.
- CDSLEGParSpread - Computes the par premium value from a Credit Default Swap Leg object.
- CDSLEGPayoffValue - Computes the payoff value from a Credit Default Swap Leg object.
- CDSLEGPremiumValue - Computes the Premium leg from a Credit Default Swap Leg object.
- CDSLEGPremiumValue2 - Computes the Premium leg from a Credit Default Swap Leg object given a flat premium spread value.
- CDSLEGRho - Computes the Rho of the recovery rate from a Credit Default Swap Leg object (one percent additive change).
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