MBSDetails-class: An S4 class to represent a mortgage pass-through security
In glennmschultz/BondLab: BondLab is a package for the analysis of fixed-income securities
Description
An S4 class to represent a mortgage pass-through security
Slots
CusipA character string the pass-through cusip
IDA character string identifying the agency and pool number
BondTypeA character string the bond type
IssuerA character string the Issuer
UnderwriterA character string the Underwriter
SectorA character string the sector
CouponA coupon a numeric value the annual coupon rate
IssueDateA character string the issue date
DatedDateA character string the dated date
MaturityA character string the maturity date
LastPmtDateA character string the last payment advanced
NextPmtDateA character string the next payment date
TermA numeric value the original term of the underlying mortgage
WALAA numeric value the weighted average loan age
WAMA numeric value the weighted average maturity
PaymentDelayA numeric value the payment delay
MoodyA character string the Moody credit rating
SPA character string the Standard and Poors credit rating
BondLabA character string the BondLab credit rating
FrequencyA numeric value the frequency of payments
(annual = 1, semi-annual = 2, monthly = 12)
BondBasisA character string the day count used
("actual360",30360", etc.)
GWacA numeric string the weighted average note rate
OrigLoanBalA numeric value the original loan balance
OrigLTVA numeric value the original loan to value ratio
AmortizationTypeA character string "fixed" or "arm"
AmortizationTermA numeric value the term of the underlying mortgage
IndexA character string the index to which the arm coupon is related
MarginA numeric value the spread (margin) over the index
FirstPmtDateA character string the mortgage first payment date
FinalPmtDateA character string the mortgage final payment date
ServicingA numeric value the serving strip
PMIA numeric value the primary mortgage insurance paid
GFeePremiumA numeric value the guarantee fee paid
InitialInterestA logical value TRUE or FALSE interest only mortgage
InterestOnlyPeriodA numeric value the number of months the
borrower pays only interest
FirstPrinPaymentDateA character string the date of the
first principal payment
BalloonPmtA logical value TRUE or FALSE a balloon payment due
BalloonDateA character string the balloon payment date
MBSFactorA numeric value the pass-through principal balance
outstanding expressed as percent of the original balance
OriginalBalA numeric value the pass-though original balance
CurrentBalA numeric value the pass-through current balance
a percentage of the original balance
ModelA character string the prepayment model tune file
BurnoutA numeric value the burnout value
SATOA numeric value the mortgage rate spread at origination
glennmschultz/BondLab documentation built on May 11, 2021, 5:29 p.m.
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Description
An S4 class to represent a mortgage pass-through security
Slots
CusipA character string the pass-through cusip
IDA character string identifying the agency and pool number
BondTypeA character string the bond type
IssuerA character string the Issuer
UnderwriterA character string the Underwriter
SectorA character string the sector
CouponA coupon a numeric value the annual coupon rate
IssueDateA character string the issue date
DatedDateA character string the dated date
MaturityA character string the maturity date
LastPmtDateA character string the last payment advanced
NextPmtDateA character string the next payment date
TermA numeric value the original term of the underlying mortgage
WALAA numeric value the weighted average loan age
WAMA numeric value the weighted average maturity
PaymentDelayA numeric value the payment delay
MoodyA character string the Moody credit rating
SPA character string the Standard and Poors credit rating
BondLabA character string the BondLab credit rating
FrequencyA numeric value the frequency of payments (annual = 1, semi-annual = 2, monthly = 12)
BondBasisA character string the day count used ("actual360",30360", etc.)
GWacA numeric string the weighted average note rate
OrigLoanBalA numeric value the original loan balance
OrigLTVA numeric value the original loan to value ratio
AmortizationTypeA character string "fixed" or "arm"
AmortizationTermA numeric value the term of the underlying mortgage
IndexA character string the index to which the arm coupon is related
MarginA numeric value the spread (margin) over the index
FirstPmtDateA character string the mortgage first payment date
FinalPmtDateA character string the mortgage final payment date
ServicingA numeric value the serving strip
PMIA numeric value the primary mortgage insurance paid
GFeePremiumA numeric value the guarantee fee paid
InitialInterestA logical value TRUE or FALSE interest only mortgage
InterestOnlyPeriodA numeric value the number of months the borrower pays only interest
FirstPrinPaymentDateA character string the date of the first principal payment
BalloonPmtA logical value TRUE or FALSE a balloon payment due
BalloonDateA character string the balloon payment date
MBSFactorA numeric value the pass-through principal balance outstanding expressed as percent of the original balance
OriginalBalA numeric value the pass-though original balance
CurrentBalA numeric value the pass-through current balance a percentage of the original balance
ModelA character string the prepayment model tune file
BurnoutA numeric value the burnout value
SATOA numeric value the mortgage rate spread at origination
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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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