 |
| credput |
Calculate the price of a default put (default swap) using credit spread methodology |
| credputtm |
Calculate the price of a default put (default swap) using transition-matrix approach |
| credtmdefault |
Return default rating transition matrix used by credit @nalyst |
| opcredput |
Calculate the value of options on credit puts using Monte Carlo and the credit spread to infer default rates |
| opcredputtm |
Calculate the value of options on credit puts using a transition-matrix approach |
| credbasketdef |
Calculate the price of a credit basket
default swap |
| credbasketloss |
Calculate the price of a credit basket
default loss swap |
| credspread |
Calculate spread option prices using a modified Black model |
