ModelToCPR: Converts a mortgage prepayment model vector to a CPR measure

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

Description

The function ties the model vector yield to an equivalent CPR yield using secant method of interpolation.

Usage

ModelToCPR(
  bond.id,
  settlement.date,
  term.structure,
  original.bal,
  price,
  yield
)

Arguments

bond.id	A character string referring to an object of type MBSDetails.
settlement.date	A character string the settlement date.
term.structure	A character string referring to an object of type
original.bal	A numeric value the original balance.
price	A character string the price.
yield	A numeric value the yield to maturity given a prepayment model vector

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