Science Score: 93.0%
This score indicates how likely this project is to be science-related based on various indicators:
-
○CITATION.cff file
-
✓codemeta.json file
Found codemeta.json file -
✓.zenodo.json file
Found .zenodo.json file -
✓DOI references
Found 1 DOI reference(s) in JOSS metadata -
○Academic publication links
-
○Academic email domains
-
○Institutional organization owner
-
✓JOSS paper metadata
Published in Journal of Open Source Software
Repository
Basic Info
- Host: GitHub
- Owner: yanrong-stacy-song
- License: gpl-3.0
- Language: C
- Default Branch: main
- Size: 1.52 MB
Statistics
- Stars: 0
- Watchers: 2
- Forks: 1
- Open Issues: 0
- Releases: 1
Metadata Files
README.md
Authors
Yanrong Song yrsong129 at gmail.com
Zijie Zhu zijie.miller.zhu at gmail.com
David Kane dave.kane at gmail.com
Heidi Chen s.heidi.chen at gmail.com
Yuanchu Dang yuanchu.dang at williams.edu
Yang Lu yang.lu2014 at gmail.com
Kanishka Malik kanishkamalik at gmail.com
Skylar Smith skylar.smith at williams.edu
About
A Credit Default Swap (CDS) is a financial swap agreement between two counterparties in which the buyer pays a fixed periodic coupon to the seller in exchange for protection in the case of a credit event. The International Swaps and Derivatives Association (ISDA) has created a set of standard terms for CDS contracts, the so-called ''Standard Model.'' This allows market participants to calculate cash settlement from conventional spread quotations, convert between conventional spread and upfront payments, and build the yield curve of a CDS.
The creditr package provides an open-source implementation of the ISDA
Standard Model in R. It allows users, such as credit risk
modelers and academic researchers, to value CDS contracts and compute various
associated risk measures. This package serves as a bridge between the opaque
mechanics of CDS pricing and a transparent implementation of it. Please note
that the creditr R package is a wrapper around ISDA's standard CDS model
in C++.
You can find the package on CRAN at https://cran.r-project.org/package=creditr
Installation
You can install the creditr package from CRAN:
r
install.packages("creditr")
Or install the development version from GitHub using the remotes package:
```r
Install remotes if not already installed
install.packages("remotes")
Install creditr from GitHub
remotes::install_github("yanrong-stacy-song/creditr") ```
Dependencies
creditr depends on several R packages such as:
methodsRcppRCurlXMLzooxts
Example Usage
r
library(creditr)
sample_cds <- CDS(name = 'Test',
contract = "SNAC",
RED = NULL,
date = as.Date("2014-05-27"),
spread = 50,
maturity = NULL,
tenor = 5,
coupon = 100,
recovery = 0.4,
currency = "USD",
notional = 10000000)
sample_cds
For additional examples and use cases, please refer to the package vignette.
Contributing, Requesting Features, And Submitting Pull Requests
We welcome contributions! Please see our contributing guidelines for more details on how to report issues, request features, or submit a pull request.
Acknowledgements
Thanks to Jeff Enos for suggesting the package name.
Owner
- Name: yanrong_stacy_song
- Login: yanrong-stacy-song
- Kind: user
- Repositories: 1
- Profile: https://github.com/yanrong-stacy-song
JOSS Publication
Credit Default Swaps with R
Authors
Columbia University, United States
Columbia University, United States
Harvard University, United States
Harvard University, United States
Columbia University, United States
Williams College, United States
Williams College, United States
Williams College, United States
Editor
Oskar Laverny
Tags
credit default swap pricing R packageGitHub Events
Total
- Release event: 1
- Delete event: 9
- Member event: 1
- Push event: 40
- Pull request event: 22
- Fork event: 1
- Create event: 12
Last Year
- Release event: 1
- Delete event: 9
- Member event: 1
- Push event: 40
- Pull request event: 22
- Fork event: 1
- Create event: 12
Issues and Pull Requests
Last synced: 11 months ago
All Time
- Total issues: 0
- Total pull requests: 25
- Average time to close issues: N/A
- Average time to close pull requests: 2 minutes
- Total issue authors: 0
- Total pull request authors: 1
- Average comments per issue: 0
- Average comments per pull request: 0.0
- Merged pull requests: 25
- Bot issues: 0
- Bot pull requests: 0
Past Year
- Issues: 0
- Pull requests: 25
- Average time to close issues: N/A
- Average time to close pull requests: 2 minutes
- Issue authors: 0
- Pull request authors: 1
- Average comments per issue: 0
- Average comments per pull request: 0.0
- Merged pull requests: 25
- Bot issues: 0
- Bot pull requests: 0
Top Authors
Issue Authors
Pull Request Authors
- yanrong-stacy-song (25)
Top Labels
Issue Labels
Pull Request Labels
Packages
- Total packages: 1
-
Total downloads:
- cran 418 last-month
- Total dependent packages: 0
- Total dependent repositories: 0
- Total versions: 2
- Total maintainers: 1
cran.r-project.org: creditr
Credit Default Swaps
- Homepage: https://github.com/yanrong-stacy-song/creditr
- Documentation: http://cran.r-project.org/web/packages/creditr/creditr.pdf
- License: file LICENSE
-
Latest release: 0.6.2
published over 1 year ago
Rankings
Maintainers (1)
Dependencies
- r-hub/actions/checkout v1 composite
- r-hub/actions/platform-info v1 composite
- r-hub/actions/run-check v1 composite
- r-hub/actions/setup v1 composite
- r-hub/actions/setup-deps v1 composite
- r-hub/actions/setup-r v1 composite
- R >= 3.1.0 depends
- RCurl * imports
- Rcpp >= 0.10.6 imports
- XML * imports
- devtools * imports
- methods * imports
- quantmod * imports
- utils * imports
- xts * imports
- zoo * imports
- testthat * suggests