CapeTools Credit Default Swaps

CapeTools Credit Default Swaps

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In total there are 17 functions present within the CapeTools Credit Default Swaps category of functions.

General Description

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.

Function list.

CDBinarySwapObj - Creates a Credit Default Swap object.
CDSAccPremUponDefault - Returns the Accrued Premium (upon default) array for each premium period from a Credit Default Swap object.
CDSAccPremium - Computes the accrued premium from a Credit Default Swap object.
CDSBPV - Computes the BPV of the Credit Default Swap object.
CDSCleanPrice - Computes the clean price from a Credit Default Swap object.
CDSDirtyPrice - Computes the dirty price from a Credit Default Swap object.
CDSExpectedPremiums - Returns the expected Premium values ( DayCountFraction * Notional * PremiumSpread * ProbabilityOfSurvival ) for each premium period from a Credit Default Swap object.
CDSFixedPremiums - Returns a detailed table of the fixed premiums calculation.
CDSNoDefaultPremiums - Returns the NoDefault Premium values ( DayCountFraction * Notional * PremiumSpread ) for each premium period from a Credit Default Swap object.
CDSOption - Computes the premium and any of the first or second order derivatives of an European option on a credit default leg spread.
CDSPVPremiums - Returns the PV Premium values : [ ( DayCountFraction * Notional * PremiumSpread * ProbabilityOfSurvival * DCF ) + AccuredPremiumUponDefault ] for each premium period from a Credit Default Swap object.
CDSParSpread - Computes the par premium value from a Credit Default Swap object.
CDSPayoffValue - Computes the payoff value from a Credit Default Swap object.
CDSPremiumValue - Computes the Premium leg from a Credit Default Swap object.
CDSPremiumValue2 - Computes the Premium leg from a Credit Default Swap object given a flat premium spread value.
CDSRho - Computes the Rho (risk) of the recovery rate from a Credit Default Swap object (one percent additive change).
CDSwapObj - Creates a Credit Default Swap object.