MortgageScenario: Mortgage Scenario Analysis

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

Description

A function to compute the total return of mortgage pass-throughs MBS

Usage

MortgageScenario(
  bond.id,
  settlement.date,
  price,
  original.bal,
  scenario.curves,
  prepayment.assumption,
  ...,
  horizon.spot.spread = NULL,
  horizon.nominal.spread = NULL,
  horizon.OAS = NULL,
  horizon.price = NULL,
  begin.cpr = NULL,
  end.cpr = NULL,
  seasoning.period = NULL,
  cpr = NULL,
  severity = 0
)

Arguments

bond.id	A character string referencing an object of type MBSDetails
settlement.date	A charcter string the settlement date
price	A character string in decimal equivalent (.) or 32nds (-)
original.bal	A numeric value the price
scenario.curves	A character string an object of type ScenarioCurves
prepayment.assumption	A character string the prepayment assumption
...	Optional values when PSA or CPR is used or Yield Curve is used
horizon.spot.spread	A numeric value the horizon zero volatility spread
horizon.nominal.spread	A numeric value the horizon spread
horizon.OAS	A numeric value the horizon option adjusted spread (not currently implemented)
horizon.price	A numeric value the horizon price in decimal form
begin.cpr	A numeric value the beginning CPR value
end.cpr	A numeric value the ending CPR value
seasoning.period	A numeric value the length of the seasoning ramp
cpr	A numeric value the CPR speed
severity	A numeric value the mortgage loss severity assumption

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