sweep_sensitivities: Sensitivity grid (rate / exit yield) and monotonicity of...

In cre.dcf: Discounted Cash Flow Tools for Commercial Real Estate

Sensitivity grid (rate / exit yield) and monotonicity of ratios

Description

For each (rate, exit_yield) pair, builds a bullet schedule, merges it with dcf_calculate() cash flows, computes ratios via add_credit_ratios(), and returns min_dscr (t >= 1) and max_ltv_forward (t >= 1).

Usage

sweep_sensitivities(
  dcf_res,
  rate_grid,
  exit_yield_grid,
  ltv = 0.6,
  maturity = 5L
)

Arguments

dcf_res	list. Output of dcf_calculate().
rate_grid	numeric. Grid of annual nominal rates (decimal).
exit_yield_grid	numeric. Grid of exit_yield values (decimal).
ltv	numeric(1). Initial LTV (default 0.60).
maturity	integer(1). Maturity (years) of the bullet schedule.

Value

tibble with columns rate, exit_yield, min_dscr, max_ltv_forward.

cre.dcf documentation built on April 10, 2026, 5:08 p.m.