MtgTermStructure: A function to calculate mortgage key rate duration and...

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

Description

This is a generic function used to construct the MortgageTermStructure object

Usage

MtgTermStructure(
  bond.id,
  original.bal,
  Rate.Delta = 0.5,
  TermStructure,
  settlement.date,
  principal,
  price,
  cashflow
)

Arguments

bond.id	A character string referencing an object of type MBS details
original.bal	A numeric value the original balance
Rate.Delta	A numeric value the rate delta used to calculate KRDs. Default value is 0.50. Do not change this unless you are sure you know what you are doing.
TermStructure	A character string referencing an object of the type TermStructure
settlement.date	a character string the settlement date
principal	A numeric value the principal balance. The principal balance is the original balance multiplied by the MBS factor
price	A numeric value the price paid
cashflow	A character string referencing an object of the type MortgageCashFlow

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