BondScenario: BondScenario function

Description Usage Arguments See Also

View source: R/BondScenario.R

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

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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.