FitMarket: FitMarket

Description Usage Arguments See Also

View source: R/MortgageOAS.R

Description

Function passed to CalibrateRates to fit forward rate curve. This function is used by CalibrateRates optimization.

Usage

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FitMarket(param, rate.to.simulate, rates.data, num.periods = 480,
  num.paths = 300)

Arguments

param

the parameters optimized by CalibrateRates

rate.to.simulate

rate to simulate

rates.data

A character referencing a rates.data object

num.periods

The number of mortgage payments defaults to 480

num.paths

The number of interest rate paths to simulate defaults to 300

See Also

Other mortgage pass through option adjusted spread: CalibrateRates, MonteCarloMeanReversion, MortgageOAS-class, OASRatesArray, SimCurve, SimRates


glennmschultz/BondLab documentation built on Nov. 8, 2017, 6:27 p.m.