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creditr: Credit Default Swaps in R

Provides tools for pricing credit default swaps using C code for the International Swaps and Derivatives Association (ISDA) CDS Standard Model. See <http://www.cdsmodel.com/cdsmodel/documentation.html> for more information about the model and <http://www.cdsmodel.com/cdsmodel/cds-disclaimer.html> for license details for the C code.

creditr.pdf