HorizonCurveShift: a constructor function of the class HorizonCurve

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

Description

a function to construct the HorizonCurve class. Currently supported scenarios

• D300 - parallel down 300 basis points

• D275 - parallel down 275 basis points

• D250 - parallel down 250 basis points

• D225 - parallel down 225 basis points

• D200 - parallel down 200 basis points

• D175 - parallel down 175 basis points

• D150 - parallel down 150 basis points

• D125 - parallel down 125 basis points

• D100 - parallel down 100 basis points

• D75 - parallel down 75 basis points

• D50 - parallel down 50 basis points

• D25 - parallel down 25 basis points

• NC - No Change

• U25 - parallel up 25 basis points

• U50 - parallel up 50 basis points

• U75 - parallel up 75 basis points

• U100 - parallel up 100 basis points

• U125 - parallel up 125 basis points

• U150 - parallel up 150 basis points

• U175 - parallel up 175 basis points

• U200 - parallel up 200 basis points

• U225 - parallel up 225 basis points

• U250 - parallel up 250 basis points

• U275 - parallel up 275 basis points

• U300 - parallel up 300 basis points

Usage

HorizonCurveShift(
  rates.data,
  settlement.date,
  horizon.months = 12,
  scenario = "NC",
  method = "dl"
)

Arguments

rates.data	A character string referencing a rates object
settlement.date	A character string the settlement date 'mm-dd-YYYY'
horizon.months	A numeric value the horizon in months
scenario	A character string the scenario
method	A character string indicating the fitting method ns = Nelson Siegel, dl = Diebond Lee, sv = Severson, asv = adjusted Severson, cs = cubic spline (not yet implemented). For additional details see the termstrc documentation.

See Also

Other Scenario Analysis: CouponIncome(), HorizonCurrBal(), HorizonMos(), HorizonPrice(), HorizonReturn(), Name,Scenario-method, PrepaidPrinReceived(), PrincipalReceived(), ReinvestmentIncome(), Scenario-class, ScenarioCurve-class, ScheduledPrinReceived()

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