DollarRoll: Dollar Roll Calculates the one-month Dollar Roll

Description Usage Arguments

View source: R/DollarRoll.R

Description

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

Usage

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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 Nov. 8, 2017, 6:27 p.m.