DollarRoll: Dollar Roll Calculates the one-month Dollar Roll

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

Description

One-month dollar roll analysis. This function is called by Dollar Roll Analytics

Usage

DollarRoll(
  bond.id = "character",
  price = numeric(),
  drop = numeric(),
  original.bal = numeric(),
  settlement.date = "character",
  fwd.settlement.date = "character",
  reinvestment.rate = numeric(),
  finance.rate = numeric(),
  MortgageCashFlow = "character"
)

Arguments

bond.id	A character string the cusip or id of the MBS
price	A numeric value the price of the MBS
drop	A numeric value the one-month drop.
original.bal	A numeric value the original balance of the MBS pool
settlement.date	A character string the current settlement date
fwd.settlement.date	A character string the forward settlement date
reinvestment.rate	A numeric value the investor's reinvestment rate
finance.rate	A numeric value the investor's alternative finance or repo rate
MortgageCashFlow	A character string the name of a MortgageCashFlow Object

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