BondScenario: BondScenario function

In glennmschultz/BondLab: BondLab is a package for the analysis of fixed-income securities

Description

A function to compute the total return of a Bond. The function first calculates the bond cashflows as of settlment date, rolls the bond forward per the horizon months, recomputes the cash flows, maturity and average life and prices the bond per the user's input. The cash flow received, reinvestment income, and horizon price are used to compute the investor's total return. The function returns the class BondScenario

Usage

BondScenario(
  bond.id = "character",
  settlement.date = "character",
  scenario.curves = "character",
  price = "character",
  principal = numeric(),
  ...,
  horizon.spot.spread = NULL,
  horizon.nominal.spread = NULL,
  horizon.OAS = NULL,
  horizon.price = NULL
)

Arguments

bond.id	A character string referencing an object of the type BondDetails
settlement.date	A character string the settlement data "mm-dd-YYYY".
scenario.curves	A character string an object of type ScenarioCurves
price	A character string in decimal equivalent (.) or 32nds (-)
principal	A numeric value the par amount.
...	Optional values to select term structure and horizon price method
horizon.spot.spread	A numeric value the horizon zero volatility spread
horizon.nominal.spread	A numeric value the horizon nominal spread or spread to the curve
horizon.OAS	A numeric value the horizon option adjusted spread (not currently implemented)
horizon.price	A numeric value the horizon price

See Also

Other Bond Scenario Analysis: BondReturn-class, BondScenario-class, CouponIncome,BondReturn-method, HorizonCurrBal,BondReturn-method, HorizonMos,BondReturn-method, HorizonPrice,BondReturn-method, HorizonReturn,BondReturn-method, PrincipalReceived,BondReturn-method, ReinvestmentIncome,BondReturn-method, ScenarioHorizonMos,ScenarioCurve-method

glennmschultz/BondLab documentation built on May 11, 2021, 5:29 p.m.